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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書目詳細資料
主要作者:	VARGAS, Gregorio III Alfredo
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2009
主題:	autoregressive modelling economic impact Markov-switching models maximum likelihood recessions time-varying transition probabilities Econometrics Finance
在線閱讀:	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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