Modeling Country Risks: An Asian Perspective

This paper investigates the use of the Markov Regime Switching Model (MRSM) as a means to track changes in the levels of investor confidence. It also assesses the probabilities of a country switching between different regimes using the transition probability matrix. A maximum of three possible level...

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Bibliographic Details
Main Authors: TAN, Swee Liang, TAN, G. K. Randolph
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2007
Subjects:
Online Access:https://ink.library.smu.edu.sg/soe_research/1077
https://ink.library.smu.edu.sg/context/soe_research/article/2076/viewcontent/CountryRiskAnalysis_MarkovRegimeSwitchingModel.pdf
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Institution: Singapore Management University
Language: English