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Regime-Dependent Relationships Among the Stock Markets of the US, Australia, and New Zealand : A Markov Switching VAR Approach

Qiao, Zhuo - 2011

Adopting a MS-VAR model (Krolzig, 1997) and a recently developed regime-dependent impulse response analysis technique (Ehrmann, et al., 2003), this paper investigates the dynamic relationships among the stock markets of the US, Australia and New Zealand. Our results reveal the existence of two...

Persistent link: https://www.econbiz.de/10013124196