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Regime-dependent relationships among the stock markets of the US, Australia and New Zealand : a Markov-switching VAR approach

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Work, leisure, and the Monday Blue : does culture matter?

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Regime-Dependent Relationships Among the Stock Markets of the US, Australia, and New Zealand : A Markov Switching VAR Approach

Qiao, Zhuo - 2011

Adopting a MS-VAR model (Krolzig, 1997) and a recently developed regime-dependent impulse response analysis technique (Ehrmann, et al., 2003), this paper investigates the dynamic relationships among the stock markets of the US, Australia and New Zealand. Our results reveal the existence of two...

Persistent link: https://www.econbiz.de/10013124196

Risk adjusted momentum strategies : a comparison between constant and dynamic volatility scaling approaches

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Are central bankers inflation nutters? : an MCMC estimator of the long-memory üarameter in a state space model

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