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Markov Switching Garch Models of Currency Turmoil in Southeast Asia

Brunetti, Celso; Mariano, Roberto S.; Tan, Augustine H. H. - 2007

This paper analyzes exchange rate turmoil with a Markov Switching GARCH model. We distinguish between two different regimes in both the conditional mean and the conditional variance: "ordinary" regime, characterized by low exchange rate changes and low volatility, and "turbulent" regime,...

Persistent link: https://www.econbiz.de/10014051852

Markov switching GARCH models of currency turmoil in Southeast Asia

Brunetti, Celso; Mariano, Roberto S.; Scotti, Chiara; … - 2007

Persistent link: https://www.econbiz.de/10003437194

Bank lending and real estate in Asia : market optimism and asset bubbles

Koh, Winston T. H.; Mariano, Roberto S.; Pavlov, Andrey D. - In: Journal of Asian economics 15 (2005) 6, pp. 1103-1118

Persistent link: https://www.econbiz.de/10002626060

Monetary policy cooperation to support Asian economic integration

Chow, Hwee-kwan; Kriz, Peter Nicholas; Mariano, Roberto S. - In: The Singapore economic review : journal of the Economic … 55 (2010) 1, pp. 83-101

Persistent link: https://www.econbiz.de/10008702720

Markov switching GARCH models of currency turmoil in Southeast Asia

Brunetti, Celso; Scotti, Chiara; Mariano, Roberto S.; … - In: Emerging markets review 9 (2008) 2, pp. 104-128

Persistent link: https://www.econbiz.de/10009869114

Forecasting monthly inflation in the Philippines

Mariano, Roberto S. - 1985

Persistent link: https://www.econbiz.de/10000704232

Complementarity and conflict among population and other policies : specifying an economic-demographic model for a developing country

Mariano, Roberto S. - In: The Pakistan development review : PDR 32 (1993) 4, pp. 523-534

Persistent link: https://www.econbiz.de/10001171529

Testing forecast accuracy

Mariano, Roberto S. - In: A companion to economic forecasting, (pp. 284-298). 2002

Persistent link: https://www.econbiz.de/10001893145

Simulation-based inference in econometrics : methods and applications

Mariano, Roberto S. (contributor); … - 2000 - 1. publ.

Persistent link: https://www.econbiz.de/10001497852

Investment management & the Philippine stock market

Ilano, Alberto R. (contributor); … - 1995

Persistent link: https://www.econbiz.de/10000919683

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