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...
Saved in:
| 主要作者: | |
|---|---|
| 格式: | text |
| 出版: |
Animo Repository
2019
|
| 主題: | |
| 在線閱讀: | https://animorepository.dlsu.edu.ph/faculty_research/393 |
| 標簽: |
添加標簽
沒有標簽, 成為第一個標記此記錄!
|