Bacchiocchi, Emanuele; Bevilacqua, Marta - Dipartimento di Economia, Management e Metodi … - 2008
In this paper we propose a two step procedure for modelling the propagation of financial shocks. The first step consists in the estimation, by means of SWARCH models, of the conditional probability of being in a period of high volatility while, in the second step such indicators are included in...