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Moments, shocks and spillovers in Markov-switching VAR models

Kole, Erik; Dijk, Dick van - In: Journal of econometrics 236 (2023) 2, pp. 1-26

Persistent link: https://www.econbiz.de/10014365495

Methods for measuring expectations and uncertainty in Markov-switching models

Bianchi, Francesco - In: Journal of econometrics 190 (2016) 1, pp. 79-99

Persistent link: https://www.econbiz.de/10011591621

Moments, shocks and spillovers in Markov switching VAR models

Dijk, Dick van; Kole, Erik - 2021

these analyses. We first derive first and second moments conditional on only a set of regime probabilities. Next, we propose … generalized impulse response functions of first and second moments to shocks originating from the regime process, the structural …

Persistent link: https://www.econbiz.de/10012621564

The role of fiscal policy : a survey of recent empirical findings

Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick - In: Open economies review 35 (2024) 5, pp. 985-998

Persistent link: https://www.econbiz.de/10015127110

A closed-form estimator for the Markov switching in mean model

Shi, Yanlin - In: Finance research letters 44 (2022), pp. 1-7

Persistent link: https://www.econbiz.de/10014495068

Forecasting gold returns volatility over 1258-2023 : the role of moments

Muddana, Thanoj K.; Bhimreddy, Komal S. R.; Majumdar, … - 2024

Persistent link: https://www.econbiz.de/10014536233

Power of moment-based normality tests : empirical analysis on Indian stock market index

Shaik, Muneer; Gulhane, Rutvik Digambar - In: International journal of finance & economics : IJFE 28 (2023) 3, pp. 2989-2997

Persistent link: https://www.econbiz.de/10014327637

Testing the equality of Nifty 50 stocks' volatility risk using correlated F-ratio

Jayakumar, G. S. David Sam; Samuel, W.; Sulthan, A. - In: International Journal of Financial Markets and … 8 (2022) 4, pp. 384-409

Persistent link: https://www.econbiz.de/10014311645

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