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  • Search: subject:"Markov switching autoregressive models"
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Year of publication
Subject
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Markov switching autoregressive models 2 Real exchange rates 2 forecasts 2 simulation 2 COVID-19 1 Coronavirus 1 Corporate Social Responsibility 1 Corporate social responsibility 1 ESG 1 Market portfolio 1 Markov-switching autoregressive models 1 Nachhaltige Entwicklung 1 Nachhaltige Kapitalanlage 1 Negatively screened 1 Parent index 1 Portfolio selection 1 Portfolio-Management 1 Sustainable development 1 Sustainable finance 1 Sustainable investment 1
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Online availability
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Free 3
Type of publication
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Book / Working Paper 2 Article 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1 Working Paper 1
Language
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English 3
Author
All
Bergman, U. Michael 2 Hansson, Jesper 2 Lin, Xiang 1 Swain, Ranjula Bali 1
Institution
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Nationalekonomiska Institutionen, Ekonomihögskolan 1
Published in...
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International review of economics & finance : IREF 1 Working Paper 1 Working Papers / Nationalekonomiska Institutionen, Ekonomihögskolan 1
Source
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ECONIS (ZBW) 1 EconStor 1 RePEc 1
Showing 1 - 3 of 3
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Performance of negatively screened sustainable investments during crisis
Lin, Xiang; Swain, Ranjula Bali - In: International review of economics & finance : IREF 93 (2024) 1, pp. 1226-1247
Persistent link: https://www.econbiz.de/10014535456
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Real Exchange Rates and Switching Regimes
Bergman, U. Michael; Hansson, Jesper - 2000
We suggest that the real exchange rate between the major currencies in the post-Bretton Woods period can be described by a stationary, two state Markov switching AR(1) model. Based on the forecast performance, both in-sample and out-of-sample, we find that this model out-performs two competing...
Persistent link: https://www.econbiz.de/10013208399
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Cover Image
Real Exchange Rates and Switching Regimes
Bergman, U. Michael; Hansson, Jesper - Nationalekonomiska Institutionen, Ekonomihögskolan - 1999
We suggest that the real exchange rate between the major currencies in the post-Bretton Woods period can be described by a stationary, two state Markov switching AR(1) model. Based on the forecast performance, both in-sample and out-of-sample, we find that this model out-performs two competing...
Persistent link: https://www.econbiz.de/10005206993
Saved in:
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