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Bayesian Markov switching stochastic correlation models
Casarin, Roberto; Tronzano, Marco; Sartore, Domenico - 2013
Persistent link: https://www.econbiz.de/10011631746
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Bayesian Markov Switching Stochastic Correlation Models
Casarin, Roberto - 2015
This paper builds on Asai and McAleer (2009) and develops a new multivariate Dynamic Conditional Correlation (DCC) model where the parameters of the correlation dynamics and those of the log-volatility process are driven by two latent Markov chains. We outline a suitable Bayesian inference...
Persistent link: https://www.econbiz.de/10013035516
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Bayesian Markov Switching Stochastic Correlation Models
Casarin, Roberto; Tronzano, Marco; Sartore, Domenico - Dipartimento di Economia, Università Ca' Foscari Venezia - 2013
This paper builds on Asai and McAleer (2009) and develops a new multivariate Dynamic Conditional Correlation (DCC) model where the parameters of the correlation dynamics and those of the log-volatility process are driven by two latent Markov chains. We outline a suitable Bayesian inference...
Persistent link: https://www.econbiz.de/10010662864
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The volatility of the euro/dollar exchange rate : empirical evidence and policy implications
Tronzano, Marco - In: Economia internazionale 61 (2008) 2/3, pp. 569-596
Persistent link: https://www.econbiz.de/10003775151
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Assessing the volatility of the euro on foreign exchange markets : further empirical evidence and policy implications
Tronzano, Marco - In: Economia internazionale 62 (2009) 1, pp. 103-131
Persistent link: https://www.econbiz.de/10003853999
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Reassessing the dynamic links between trade and growth : new empirical evidence from India
Tronzano, Marco - In: Economia internazionale 63 (2010) 2, pp. 217-244
Persistent link: https://www.econbiz.de/10003987732
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The expectations hypothesis of the term structure in emerging financial markets : some evidence from Malaysia (1999-2015)
Tronzano, Marco - In: Economia internazionale 68 (2015) 4, pp. 521-550
Persistent link: https://www.econbiz.de/10011428293
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The term structure of interest rates in India : evidence from the post-liberalization period (1996 - 2013)
Tronzano, Marco - In: Economia internazionale 68 (2015) 2, pp. 275-295
Persistent link: https://www.econbiz.de/10011304747
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The expectations hypothesis of the term structure : further empirical evidence for India (1996 - 2013)
Tronzano, Marco - In: Economia internazionale 68 (2015) 3, pp. 401-421
Persistent link: https://www.econbiz.de/10011348834
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Multicointegration and fiscal sustainability in India : evidence from standard and regime shifts models
Tronzano, Marco - In: Economia internazionale 67 (2014) 2, pp. 263-291
Persistent link: https://www.econbiz.de/10010401103