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Moments, shocks and spillovers in Markov-switching VAR models

Kole, Erik; Dijk, Dick van - In: Journal of econometrics 236 (2023) 2, pp. 1-26

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Moments, shocks and spillovers in Markov switching VAR models

Dijk, Dick van; Kole, Erik - 2021

these analyses. We first derive first and second moments conditional on only a set of regime probabilities. Next, we propose … generalized impulse response functions of first and second moments to shocks originating from the regime process, the structural …

Persistent link: https://www.econbiz.de/10012621564

Forecasting stock returns volatility of the G7 over centuries : the role of climate risks

Bouri, Elie; Gupta, Rangan; Liphadzi, Asingamaanda; … - 2024

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Forecasting realized US stock market volatility : is there a role for economic policy uncertainty?

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Power of moment-based normality tests : empirical analysis on Indian stock market index

Shaik, Muneer; Gulhane, Rutvik Digambar - In: International journal of finance & economics : IJFE 28 (2023) 3, pp. 2989-2997

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Testing the equality of Nifty 50 stocks' volatility risk using correlated F-ratio

Jayakumar, G. S. David Sam; Samuel, W.; Sulthan, A. - In: International Journal of Financial Markets and … 8 (2022) 4, pp. 384-409

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Asset prices, booms and recessions : financial market, economic activity and the macroeconomy ; with 22 tables

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Asset prices, booms and recessions : financial economics from a dynamic perspective

Semmler, Willi - 2006 - 2nd ed.

Asset Prices, Booms and Recessions"" is a book on Financial Economics from a dynamic perspective. It focuses on the dynamic interaction of financial markets and economic activity. The financial markets to be studied here encompasses the money and bond market, credit market, stock market and...

Persistent link: https://www.econbiz.de/10003139161

Asset Prices, Booms and Recessions : Financial Economics from a Dynamic Perspective

Semmler, Willi - 2006 - Second Edition

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Essays on micromotives and macrobehavior, expectation formation, and asset price dynamics

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