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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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2007
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| 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 |