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

• 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
• 機構: Singapore Management University

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...