Predicting regime switching in BRICS currency volatility : a Markov switching autoregressive approach
Suman Das, Saikat Sinha Roy
| Year of publication: |
2021
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|---|---|
| Authors: | Das, Suman ; Roy, Saikat Sinha |
| Published in: |
Decision : official journal of Indian Institute of Management Calcutta. - [Erscheinungsort nicht ermittelbar] : Springer India, ISSN 2197-1722, ZDB-ID 2194154-3. - Vol. 48.2021, 2, p. 165-180
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| Subject: | Exchange rate | Markov regime switching | Exchange market pressure | Intervention index | Market synchronization | BRICS | Markov-Kette | Markov chain | Volatilität | Volatility | BRICS-Staaten | BRICS countries | Wechselkurs | Prognoseverfahren | Forecasting model | Wechselkurspolitik | Exchange rate policy | Schätzung | Estimation | Währungskrise | Currency crisis | ARCH-Modell | ARCH model | Devisenmarkt | Foreign exchange market |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s40622-021-00275-9 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012622217