The Markov-switching Granger Causality of Asia-Pacific Exchange Rates
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"The Distribution of Exchange Rates in the EMS,"
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More about this item
Keywords
Asia-Pacific; exchange rate; Granger causality; Markov-switching vector autoregressive model;All these keywords.
JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
- C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models
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