Lee, Hsiang-Tai; Yoder, Jonathan - In: Applied Economics 39 (2007) 10, pp. 1253-1265
This article develops a new bivariate Markov regime switching BEKK-Generalized Autoregressive Conditional Heteroscedasticity (GARCH) (RS-BEKK-GARCH) model. The model is a state-dependent bivariate BEKK-GARCH model and an extension of Gray's univariate generalized regime-switching (GRS) model to...