Search Results - subject:"Markov-regime switching"

Bond indices maturities and changing macroeconomic conditions : evidence from South Africa

Moodley, Fabian - In: Journal of Economics and Financial Analysis 8 (2024) 1, pp. 57-73

Persistent link: https://www.econbiz.de/10014486924

Forecasting US stock market volatility : evidence from ESG and CPU indices

Ghani, Usman; Zhu, Bo; Qin, Quande; Ghani, Maria - In: Finance research letters 59 (2024), pp. 1-7

Persistent link: https://www.econbiz.de/10014445411

Forecasting the Chinese crude oil futures volatility using jump intensity and Markov-regime switching model

Li, Pan; Cao, Jiawei; Xu, Zijian - In: Energy economics 134 (2024), pp. 1-10

Persistent link: https://www.econbiz.de/10015047129

Direct and indirect impacts of oil price shocks on Ecuador's economic cycles (2000:01-2020:01)

Martín Mayoral, Fernando; Carvajal, Alexander - In: Estudios de Economía 50 (2023) 2, pp. 379-412

We analyse the non-linear relationship between oil price shocks and the real business cycle in Ecuador, a dollarized economy where oil exports are the country's main source of foreign exchange. We estimate several autoregressive Markov switching models for the period 2000:01-2020:01 to identify...

Persistent link: https://www.econbiz.de/10014486055

Understand funding liquidity and market liquidity in a regime-switching model

Chen, Louisa; Shen, Liya; Zhou, Zhiping - In: International journal of finance & economics : IJFE 28 (2023) 1, pp. 589-605

Persistent link: https://www.econbiz.de/10014253239

Direct and indirect impacts of oil price shocks on Ecuador's economic cycles (2000:01-2020:01)

Martín Mayoral, Fernando; Carvajal, Alexander - In: Estudios de economía 50 (2023) 2, pp. 379-412

Persistent link: https://www.econbiz.de/10014450844

Analyzing and forecasting electricity price using regime-switching models : the case of New Zealand market

Kapoor, Gaurav; Wichitaksorn, Nuttanan; Zhang, WenJun - In: Journal of forecasting 42 (2023) 8, pp. 2011-2026

Persistent link: https://www.econbiz.de/10014432832

Exchange rate risk and sovereign debt risk in South Africa : a regime dependent approach

Manguzvane, Mathias Mandla; Biyase, Mduduzi - 2023

Persistent link: https://www.econbiz.de/10013553306

International stock market volatility : a data-rich environment based on oil shocks

Lu, Xinjie; Ma, Feng; Wang, Tianyang; Wen, Fenghua - In: Journal of economic behavior & organization : JEBO 214 (2023), pp. 184-215

Persistent link: https://www.econbiz.de/10014478333

Financial stress and oil market volatility : new evidence

Pang, Dan; Ma, Feng; Wahab, M. I. M.; Zhu, Bo - In: Applied economics letters 30 (2023) 1, pp. 1-6

Persistent link: https://www.econbiz.de/10013552939

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