This paper estimates a semi-multivariate dynamic model of Mauritian inflation, using monthly data over the period January 1976 - December 2001, which captures the significant nonlinearity and asymmetry present in the inflation process. Starting from a linear autoregressive distributed lag (ARDL)...

Through the use of regime-switching models, recent empirical research has essentially demonstrated that the dynamics of stock returns depend on the state of one stock market. The present paper extends this analytical framework by allowing the dynamics of returns to depend on the joint-states of...