Markov switching model of philippine stock market volatility
A Markov-switching model was used to analyze the monthly return of the Philippine Stock Exchange, based on data from January 2000 to July 2017, to estimate the regime-switching behavior of the equity market. The study identified two states of the market: one characterized by positive mean return and...
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| Format: | text |
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Animo Repository
2019
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| Online Access: | https://animorepository.dlsu.edu.ph/faculty_research/393 |
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| Institution: | De La Salle University |