- UPSpace Home
- →
- Browsing by Subject
JavaScript is disabled for your browser. Some features of this site may not work without it.
Browsing by Subject "Markov-switching"
Now showing items 1-4 of 4
-
(Chamber of Commerce of Genova, 2016-02)We test for a unit root in de-trended GDP in a two-state Markov switching specification using a modified Augmented Dickey-Fuller test. Our results show that a first difference GDP specification is preferred over the ...
-
(Springer, 2017-10)This study provides novel insight to the evolution of herd behavior during crisis periods by relating the time-variation in investor herding to speculation in gold, an asset traditionally considered a safe haven during ...
-
(Springer, 2017-08)This paper seeks to identify evidence of regime-switching behaviour in the monetary policy response function and the variance of the shocks. It makes use of various specifications of a small open-economy Markov-switching ...
-
(Elsevier, 2024-01)We investigate the role of geopolitical risks in forecasting stock market volatility at monthly horizons within a robust autoregressive Markov-switching GARCH mixed-data-sampling (AR-MSGARCH-MIDAS) framework. Our approach ...
Now showing items 1-4 of 4