Search Results - subject:"Markov regime switching model"

The non-linear impact of high and growing government external debt on economic growth: A Markov Regime-switching approach

Doğan, İbrahim; Bilgili, Faik - In: Economic Modelling 39 (2014) C, pp. 213-220

Today, the major reason for external debt is to finance high public deficits. This study aims to examine the relationship between external indebtedness and growth variables. In this context, Markov-switching model is used because it allows the examination of unobservable variables in an...

Persistent link: https://www.econbiz.de/10011048884

Systematic cyclicality of systemic bubbles: Evidence from the U.S. commercial banking system

Kim, Myeong Hyeon; Kim, Baeho - In: Journal of Macroeconomics 42 (2014) C, pp. 281-297

-cyclical interaction between the market-wide risk perception and system-wide asset management behavior. Based on a Markov regime-switching … model, the proposed diagnostic framework clearly illustrates its ability to provide an early warning signal of the build …

Persistent link: https://www.econbiz.de/10011117990

Regime-Switching Behaviour in the Conditional Volatility of MENA Stock Market Returns

Bahloul, Slah; Abid, Fathi - In: Journal of Emerging Market Finance 13 (2014) 3, pp. 253-278

North African (MENA) countriesâ€™ stock market using a three-state Markov regime switching model over the period from 30 …

Persistent link: https://www.econbiz.de/10011137889

Inventory change, capacity utilization and the semiconductor industry cycle

Liu, Wen-hsien; Chung, Ching-fan; Chang, Kuang-liang - In: Economic modelling 31 (2013), pp. 119-127

Persistent link: https://www.econbiz.de/10009725766

Nonlinearity and nonstationarity in international art market prices : evidence from Markov-switching ADF unit root tests

Çevik, Emrah İsmail; Atukeren, Erdal; Korkmaz, Turhan - In: Empirical economics : a journal of the Institute for … 45 (2013) 2, pp. 675-695

Persistent link: https://www.econbiz.de/10010188074

A comparative analysis of independent director appointments on stock price behaviour : an empirical investigation based on the Markov regime-switching model

Lee, Yung Chuan; Lu, Su-lien - In: Applied economics 45 (2013) 19/21, pp. 2883-2893

Persistent link: https://www.econbiz.de/10010192366

Nonlinearity and nonstationarity in international art market prices: evidence from Markov-switching ADF unit root tests

Çevik, Emrah; Atukeren, Erdal; Korkmaz, Turhan - In: Empirical Economics 45 (2013) 2, pp. 675-695

knowledge, our study is the first one in the literature to suggest that a nonlinear (Markov regime-switching) model provides a …

Persistent link: https://www.econbiz.de/10010994342

Inventory change, capacity utilization and the semiconductor industry cycle

Liu, Wen-Hsien; Chung, Ching-Fan; Chang, Kuang-Liang - In: Economic Modelling 31 (2013) C, pp. 119-127

nonlinear, two-state, trivariate, Markov regime-switching model developed in this paper which includes inventory change …

Persistent link: https://www.econbiz.de/10010636301

On credit spread change of Chinese corporate bonds: credit risk or asset allocation effect?

Cui, Changfeng; Liu, Hailong; Zhang, Yi - In: China Finance Review International 3 (2013) 3, pp. 250-263

. Design/methodology/approach – The authors adopt Markov regime switching model to investigate the changing mode of the credit …

Persistent link: https://www.econbiz.de/10014694513

On credit spread change of Chinese corporate bonds: credit risk or asset allocation effect?

Cui, Changfeng; Liu, Hailong; Zhang, Yi - In: China Finance Review International 3 (2013) June, pp. 250-263

. Design/methodology/approach – The authors adopt Markov regime switching model to investigate the changing mode of the credit …

Persistent link: https://www.econbiz.de/10010688405