Qiao, Zhuo; Li, Yuming; Wong, Wing-Keung - In: Applied Financial Economics 21 (2011) 24, pp. 1831-1841
Adopting a multivariate Markov-switching-VAR model (Krolzig, 1997) and a recently developed regime-dependent impulse response analysis technique (Ehrmann <italic>et al</italic>., 2003), this article investigates the dynamic relationships among the stock markets of the US, Australia and New Zealand. Our results...