mixing properties. Furthermore, we derive general stochastic properties of gbVAR processes, including formulae for transition … probabilities. In particular, classical Yule–Walker equations hold that facilitate parameter estimation in gbVAR models. In …

. Second, we estimate one-step Markov-switching models with time-varying transition probabilities using the diffusion indices …

and gas firms quoted on the Nigerian Stock Exchange from April 2017 to January 2020. The study finds that the transition … probabilities and the steady-state distribution of all the firms are stationary at first-order, implying that chain depends on the …

. Second, we estimate one-step Markov-switching models with time-varying transition probabilities using the diffusion indices …

. Second, we estimate one-step Markov-switching models with time-varying transition probabilities using the diffusion indices …

absence of time-varying transition probabilities. Accordingly, the stochastic nature of transition probabilities has important … refine or extend this one by integrating timing flexibility and changes in cash flows with time-varying transition … probabilities for regime switching. This study emphasizes that optimal thresholds are either overvalued or undervalued in the …

and gas firms quoted on the Nigerian Stock Exchange from April 2017 to January 2020. The study finds that the transition … probabilities and the steady-state distribution of all the firms are stationary at first-order, implying that chain depends on the …