Markov Switching VAR Model of Speculative Pressure: An Application to the Asian Financial Crisis

Markov Switching VAR Model of Speculative Pressure: An Application to the Asian Financial Crisis

Markov switching models with time-varying transition probabilities address the limitations of the earlier methods in the early warning system literature on currency crises. Most of the Markov switching models in the literature are largely based on univariate models of exchange rate fluctuations. In...

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Bibliographic Details
Main Author: VARGAS, Gregorio III Alfredo
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2009
Subjects:
autoregressive modelling
economic impact
Markov-switching models
maximum likelihood
recessions
time-varying transition probabilities
Econometrics
Finance
Online Access:https://ink.library.smu.edu.sg/etd_coll/27
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1026&context=etd_coll
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/etd_coll/27
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1026&context=etd_coll

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