Early Warning System in ASEAN Countries Using Capital Market Index Return: Modified Markov Regime Switching Model
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More about this item
Keywords
Early Warning System; stock market; regime switching; threshold; Markov first order process;All these keywords.
JEL classification:
- C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models
- E61 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Policy Objectives; Policy Designs and Consistency; Policy Coordination
- E66 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General Outlook and Conditions
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- O53 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Asia including Middle East
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