Gurgul, Henryk; Machno, Artur - In: Managing Global Transitions 13 (2015) 1 (Spring), pp. 3-25
This paper analyzes short-run relationships between German, Austrian and Polish stock market indices using the Markov Switching VAR (MSVAR) model. The impulse response function is used as the main tool and reveals two market phases. The results are useful for investors; reactions to disturbances...