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Regime switching with time-varying transition probabilities
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Cited by:
- RenÈ Garcia, 2002.
"Are the Effects of Monetary Policy Asymmetric?,"
Economic Inquiry, Western Economic Association International, vol. 40(1), pages 102-119, January.
- René Garcia & Huntley Schaller, 1995. "Are the Effects of Monetary Policy Asymmetric?," CIRANO Working Papers 95s-06, CIRANO.
- Garcia, R. & Schaller, H., 1995. "Are the Effects of Monetary Policy Asymmetric?," Cahiers de recherche 9505, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- René Garcia & Huntley Schaller, 1999. "Are the Effects of Monetary Policy Asymmetric?," Carleton Economic Papers 99-17, Carleton University, Department of Economics.
- Garcia, R. & Schaller, H., 1995. "Are the Effects of Monetary Policy Asymmetric?," Cahiers de recherche 9505, Universite de Montreal, Departement de sciences economiques.
- Dufrénot, Gilles & Malik, Sheheryar, 2012.
"The changing role of house price dynamics over the business cycle,"
Economic Modelling, Elsevier, vol. 29(5), pages 1960-1967.
- Dufrénot, G. & Malik, S., 2010. "The changing role of house price dynamics over the business cycle," Working papers 309, Banque de France.
- Mundaca, Gabriela, 2003. "A Drift of the "Drift Adjustment Method"," Memorandum 16/2002, Oslo University, Department of Economics.
- Carol Alexander & Anca Dimitriu, 2003. "Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency," ICMA Centre Discussion Papers in Finance icma-dp2003-02, Henley Business School, University of Reading.
- Michel Beine & Paul De Grauwe & Marianna Grimaldi, 2014.
"The Impact of FX Central Bank Intervention in a Noise Trading Framework,"
World Scientific Book Chapters, in: Exchange Rates and Global Financial Policies, chapter 6, pages 189-216,
World Scientific Publishing Co. Pte. Ltd..
- Beine, Michel & Grauwe, Paul De & Grimaldi, Marianna, 2009. "The impact of FX central bank intervention in a noise trading framework," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1187-1195, July.
- Michel Beine & Paul De Grauwe & Marianna Grimaldi, 2005. "The Impact of FX Central Bank Intervention in a Noise Trading Framework," CESifo Working Paper Series 1520, CESifo.
- Michel Beine & Paul De Grauwe & Marianna Grimaldi, 2008. "The impact of FX Central Bank Intervention in a Noise Trading Framework," DEM Discussion Paper Series 08-15, Department of Economics at the University of Luxembourg.
- Ang, Andrew & Bekaert, Geert, 2002.
"Regime Switches in Interest Rates,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 163-182, April.
- Andrew Ang & Geert Bekaert, 1998. "Regime Switches in Interest Rates," NBER Working Papers 6508, National Bureau of Economic Research, Inc.
- Anders Rahbek & Neil Shephard, 2001. "Autoregressive conditional root model," Economics Papers 2002-W7, Economics Group, Nuffield College, University of Oxford, revised 01 Feb 2002.
- Marcel Fratzscher, 2003.
"On currency crises and contagion,"
International Journal of Finance & Economics,
John Wiley & Sons, Ltd., vol. 8(2), pages 109-129.
- Marcel Fratzscher, 2000. "On Currency Crises and Contagion," Working Paper Series WP00-9, Peterson Institute for International Economics.
- Fratzscher, Marcel, 2002. "On currency crises and contagion," Working Paper Series 0139, European Central Bank.
- Andrew Ang & Allan Timmermann, 2012.
"Regime Changes and Financial Markets,"
Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 313-337, October.
- Timmermann, Allan & Ang, Andrew, 2011. "Regime Changes and Financial Markets," CEPR Discussion Papers 8480, C.E.P.R. Discussion Papers.
- Andrew Ang & Allan Timmermann, 2011. "Regime Changes and Financial Markets," NBER Working Papers 17182, National Bureau of Economic Research, Inc.
- Markku Lanne, 2003.
"Testing the Expectations Hypothesis of the Term Structure of Interest Rates in the Presence of a Potential Regime Shift,"
Manchester School, University of Manchester, vol. 71(s1), pages 54-67, September.
- Lanne, Markku, 1999. "Testing the expectations hypothesis of the term structure of interest rates in the presence of a potential regime shift," Bank of Finland Research Discussion Papers 20/1999, Bank of Finland.
- Markku Lanne, 2000. "Testing The Expectations Hypothesis Of The Term Structure Of Interest Rates In The Presence Of A Potential Regime Shift," Computing in Economics and Finance 2000 294, Society for Computational Economics.
- Holm-Hadulla, Fédéric & Hubrich, Kirstin, 2017.
"Macroeconomic implications of oil price fluctuations: a regime-switching framework for the euro area,"
Working Paper Series
2119, European Central Bank.
- Fédéric Holm-Hadulla & Kirstin Hubrich, 2017. "Macroeconomic Implications of Oil Price Fluctuations : A Regime-Switching Framework for the Euro Area," Finance and Economics Discussion Series 2017-063, Board of Governors of the Federal Reserve System (U.S.).
- Fedorova, E. & Afanasev, D., 2014. "Comprehensive Crisis Indicator for Russia," Journal of the New Economic Association, New Economic Association, vol. 23(3), pages 38-59.
- Qingfu Liu & Yiuman Tse & Kaixin Zheng, 2021. "The impact of trading behavioral biases on market liquidity under different volatility levels: Evidence from the Chinese commodity futures market," The Financial Review, Eastern Finance Association, vol. 56(4), pages 671-692, November.
- John R. Freeman & Jude C. Hays & Helmut Stix, 1999. "Democracy and Markets: The Case of Exchange Rates," Working Papers 39, Oesterreichische Nationalbank (Austrian Central Bank).
- Anders Rygh Swensen, 1997. "Change in Regime and Markov Models," Discussion Papers 204, Statistics Norway, Research Department.
- Nagayasu, Jun, 2014.
"The forward premium puzzle and the Euro,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 436-451.
- Jun, Nagayasu, 2013. "The Forward Premium Puzzle and The Euro," SIRE Discussion Papers 2013-65, Scottish Institute for Research in Economics (SIRE).
- Nagayasu, Jun, 2013. "The Forward Premium Puzzle And The Euro," MPRA Paper 45746, University Library of Munich, Germany.
- Jun Nagayasu, 2013. "The forward premium puzzle and the euro," Working Papers 1317, University of Strathclyde Business School, Department of Economics.
- Laurent Calvet & Adlai Fisher, 2003.
"Regime-Switching and the Estimation of Multifractal Processes,"
NBER Working Papers
9839, National Bureau of Economic Research, Inc.
- Laurent Calvet & Adlai Fisher, 2003. "Regime-Switching and the Estimation of Multifractal Processes," Harvard Institute of Economic Research Working Papers 1999, Harvard - Institute of Economic Research.
- Oreste Napolitano, 2009.
"Is the impact of the ECB Monetary Policy on EMU stock market returns asymmetric?,"
STUDI ECONOMICI, FrancoAngeli Editore, vol. 0(97), pages 145-180.
- Oreste Napolitano, 2006. "Is The Impact Of Ecb Monetary Policy On Emu Stock Market Returns Asymmetric?," Working Papers 3_2006, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
- Oreste Napolitano, 2006. "Is the Impact of ECB Monetary Policy on EMU Stock Market Returns asymmetric?," Discussion Papers 1_2006, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
- Bohórquez Coro, Claudia Mabel & Caballero Claure, Benigno & Caballero Martínez, Rolando, 2020. "Análisis de la inflación en Bolivia. Un enfoque Markov- Switching con tres estados," Revista Latinoamericana de Desarrollo Economico, Carrera de Economía de la Universidad Católica Boliviana (UCB) "San Pablo", issue 33, pages 213-235, May.
- Terra, Cristina & Valladares, Frederico, 2010.
"Real exchange rate misalignments,"
International Review of Economics & Finance, Elsevier, vol. 19(1), pages 119-144, January.
- Terra, Maria Cristina T. & Valladares, Frederico Estrella Carneiro, 2003. "Real exchange rate misalignments," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 493, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Cristina Terra & Frederico Valladares, 2009. "Real Exchange Rate Misalignments," THEMA Working Papers 2009-03, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Frederico Valladares & Cristina Terra, 2004. "Real Exchange Rate Misalignments," Econometric Society 2004 Latin American Meetings 191, Econometric Society.
- Massimiliano Marcellino & Oscar Jorda, "undated".
"Stochastic Processes Subject to Time-Scale Transformations: An Application to High-Frequency FX Data,"
Working Papers
164, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Oscar Jorda & Massimiliano Marcellino, 2003. "Stochastic Processes Subject To Time Scale Transformations: An Application To High-Frequency Fx Data," Working Papers 273, University of California, Davis, Department of Economics.
- Oscar Jorda & Massimiliano Marcellino, "undated". "Stochastic Processes Subject To Time Scale Transformations: An Application To High-Frequency Fx Data," Department of Economics 00-02, California Davis - Department of Economics.
- Michel Beine & Sébastien Laurent, 2000.
"Structural change and long memory in volatility: new evidence from daily exchange rates,"
ULB Institutional Repository
2013/10473, ULB -- Universite Libre de Bruxelles.
- Michel Beine & Sebastien Laurent, 2000. "Structural Change and Long Memory in Volatility: New Evidence from Daily Exchange Rates," Econometric Society World Congress 2000 Contributed Papers 0312, Econometric Society.
- Valerie Cerra & Sweta Chaman Saxena, 2002. "Contagion, Monsoons, and Domestic Turmoil in Indonesia’s Currency Crisis," Review of International Economics, Wiley Blackwell, vol. 10(1), pages 36-44, February.
- Diebold, Francis X & Rudebusch, Glenn D, 1996.
"Measuring Business Cycles: A Modern Perspective,"
The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 67-77, February.
- Diebold & Rudebusch, "undated". "Measuring Business Cycle: A Modern Perspective," Home Pages _061, University of Pennsylvania.
- Francis X. Diebold & Glenn D. Rudebusch, 1994. "Measuring Business Cycles: A Modern Perspective," NBER Working Papers 4643, National Bureau of Economic Research, Inc.
- Haase, Felix & Neuenkirch, Matthias, 2023.
"Predictability of bull and bear markets: A new look at forecasting stock market regimes (and returns) in the US,"
International Journal of Forecasting, Elsevier, vol. 39(2), pages 587-605.
- Felix Haase & Matthias Neuenkirch, 2020. "Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US," Working Paper Series 2020-03, University of Trier, Research Group Quantitative Finance and Risk Analysis.
- Felix Haase & Matthias Neuenkirch, 2021. "Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US," CESifo Working Paper Series 8828, CESifo.
- Felix Haase & Matthias Neuenkirch, 2020. "Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US," Research Papers in Economics 2020-01, University of Trier, Department of Economics.
- Andrew Stuart Duncan & Guangling“dave” Liu, 2009.
"Modelling South African Currency Crises As Structural Changes In The Volatility Of The Rand,"
South African Journal of Economics, Economic Society of South Africa, vol. 77(3), pages 363-379, September.
- Andrew S. Duncan & Guangling Dave Liu, 2009. "Modelling South African Currency Crises as Structural Changes in the Volatility of the Rand," Working Papers 140, Economic Research Southern Africa.
- Angelos Kanas, 2009. "Regime switching in stock index and futures markets: a note on the NIKKEI evidence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(4), pages 394-399.
- Apostolos Thomadakis, 2012. "Contagion or Flight-to-Quality Phenomena in Stock and Bond Returns," School of Economics Discussion Papers 0612, School of Economics, University of Surrey.
- Peria, Maria Soledad Martinez, 1999. "A regime - switching approach to studying speculative attacks : focus on European Monetary System crises," Policy Research Working Paper Series 2132, The World Bank.
- Michael Frömmel, 2010.
"Volatility Regimes in Central and Eastern European Countries’ Exchange Rates,"
Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 60(1), pages 2-21, February.
- Frömmel, Michael, 2006. "Volatility Regimes in Central and Eastern European Countries' Exchange Rates," Hannover Economic Papers (HEP) dp-333, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- M. Frömmel, 2007. "Volatility Regimes in Central and Eastern European Countries’ Exchange Rates," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 07/487, Ghent University, Faculty of Economics and Business Administration.
- Uctum, Remzi, 2007.
"Économétrie des modèles à changement de régimes : un essai de synthèse,"
L'Actualité Economique, Société Canadienne de Science Economique, vol. 83(4), pages 447-482, décembre.
- Remzi Uctum, 2007. "Econométrie des modèles à changements de régimes: un essai de synthèse," Post-Print halshs-00174034, HAL.
- Vansteenkiste, Isabel, 2011. "What is driving oil futures prices? Fundamentals versus speculation," Working Paper Series 1371, European Central Bank.
- Carriero, Andrea & Marcellino, Massimiliano, 2007.
"A comparison of methods for the construction of composite coincident and leading indexes for the UK,"
International Journal of Forecasting, Elsevier, vol. 23(2), pages 219-236.
- Andrea Carriero & Massimiliano Marcellino, 2007. "A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK," Working Papers 590, Queen Mary University of London, School of Economics and Finance.
- Andrea Carriero & Massimiliano Marcellino, 2007. "A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK," Working Papers 590, Queen Mary University of London, School of Economics and Finance.
- Chris Stivers & Licheng Sun, 2002. "Stock market uncertainty and the relation between stock and bond returns," FRB Atlanta Working Paper 2002-3, Federal Reserve Bank of Atlanta.
- Andrew Ang & Geert Bekaert & Min Wei, 2008.
"The Term Structure of Real Rates and Expected Inflation,"
Journal of Finance, American Finance Association, vol. 63(2), pages 797-849, April.
- Andrew Ang & Geert Bekaert, 2004. "The term structure of real rates and expected inflation," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- Bekaert, Geert & Ang, Andrew, 2004. "The Term Structure of Real Rates and Expected Inflation," CEPR Discussion Papers 4518, C.E.P.R. Discussion Papers.
- Andrew Ang & Geert Bekaert & Min Wei, 2007. "The Term Structure of Real Rates and Expected Inflation," NBER Working Papers 12930, National Bureau of Economic Research, Inc.
- Andrea Cipollini & Kostas Mouratidis & Nicola Spagnolo, 2008.
"Evaluating currency crises: the case of the European monetary system,"
Empirical Economics, Springer, vol. 35(1), pages 11-27, August.
- Kostas Mouratidis & Nicola Spagnolo, 2004. "Evaluating currency crises: the case of the European Monetary System," Money Macro and Finance (MMF) Research Group Conference 2003 69, Money Macro and Finance Research Group.
- Ronald MacDonald & Jun Nagayasu, 2013.
"Currency forecast errors at times of low interest rates: evidence from survey data on the Yen/Dollar exchange rate,"
Working Papers
1321, University of Strathclyde Business School, Department of Economics.
- MacDonald, Ronald & Nagayasu, Jun, 2013. "Currency Forecast Errors at Times of Low Interest Rates: Evidence from Survey Data on the Yen/Dollar Exchange Rate," SIRE Discussion Papers 2013-100, Scottish Institute for Research in Economics (SIRE).
- Francis X. Diebold & Glenn D. Rudebusch, 2001. "Five questions about business cycles," Economic Review, Federal Reserve Bank of San Francisco, pages 1-15.
- Morier, Bruno & Teles, Vladimir Kühl, 2016.
"A Time-Varying Markov-Switching Model For Economic Growth,"
Macroeconomic Dynamics, Cambridge University Press, vol. 20(6), pages 1550-1580, September.
- Morier, Bruno & Teles, Vladimir Kuhl, 2011. "A time-varying markov-switching model for economic growth," Textos para discussão 305, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- RUGE-MURCIA, Francisco J., 1997. "Credibility and Signaling in Disinflation- a Cross Country Examination," Cahiers de recherche 9712, Universite de Montreal, Departement de sciences economiques.
- Marcel Fratzscher, 2003.
"On currency crises and contagion,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 8(2), pages 109-129.
- Marcel Fratzscher, 2000. "On Currency Crises and Contagion," Working Paper Series WP00-9, Peterson Institute for International Economics.
- Fratzscher, Marcel, 2002. "On currency crises and contagion," Working Paper Series 139, European Central Bank.
- Guidolin, Massimo & Hyde, Stuart, 2012.
"Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective,"
Journal of Banking & Finance, Elsevier, vol. 36(3), pages 695-716.
- Massimo Guidolin & Stuart Hyde, 2010. "Can VAR models capture regime shifts in asset returns? a long-horizon strategic asset allocation perspective," Working Papers 2010-002, Federal Reserve Bank of St. Louis.
- Massimo Guidolin & Stuart Hyde, 2011. "Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective," Working Papers 414, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- JdD Tena & E. Otranto, 2008. "A Realistic Model for Official Interest Rates," Working Paper CRENoS 200802, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- Andrea Carriero & Massimiliano Marcellino, 2007. "Monitoring the Economy of the Euro Area: A Comparison of Composite Coincident Indexes," Working Papers 319, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Badarinza, Cristian & Gross, Marco, 2011. "Macroeconomic vulnerability and disagreement in expectations," Working Paper Series 1407, European Central Bank.
- Erlandsson, Ulf, 2005. "Transition Variables in the Markov-switching Model: Some Small Sample Properties," Working Papers 2005:25, Lund University, Department of Economics.
- Kim, Chang-Jin & Piger, Jeremy & Startz, Richard, 2008.
"Estimation of Markov regime-switching regression models with endogenous switching,"
Journal of Econometrics, Elsevier, vol. 143(2), pages 263-273, April.
- Chang-Jin Kim & Jeremy M. Piger & Richard Startz, 2004. "Estimation of Markov regime-switching regression models with endogenous switching," Working Papers 2003-015, Federal Reserve Bank of St. Louis.
- Sylvia Kaufmann, 2010.
"Dating and forecasting turning points by Bayesian clustering with dynamic structure: a suggestion with an application to Austrian data,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(2), pages 309-344.
- Sylvia Kaufmann, 2008. "Dating and forecasting turning points by Bayesian clustering with dynamic structure: A suggestion with an application to Austrian data," Working Papers 144, Oesterreichische Nationalbank (Austrian Central Bank).
- Jushan Bai & Peng Wang, 2011.
"Conditional Markov chain and its application in economic time series analysis,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(5), pages 715-734, August.
- Bai, Jushan & Wang, Peng, 2011. "Conditional Markov chain and its application in economic time series analysis," MPRA Paper 33369, University Library of Munich, Germany.
- M. Bigeco & E. Grosso & E. Otranto, 2008. "Recognizing and Forecasting the Sign of Financial Local Trends using Hidden Markov Models," Working Paper CRENoS 200803, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- Pelletier, Denis, 2006.
"Regime switching for dynamic correlations,"
Journal of Econometrics, Elsevier, vol. 131(1-2), pages 445-473.
- Denis Pelletier, 2004. "Regime Switching for Dynamic Correlations," Econometric Society 2004 North American Summer Meetings 230, Econometric Society.
- Bonomo, Marco Antônio Cesar & Terra, Maria Cristina T., 1999. "The political economy of exchange rate policy in Brazil: 1964-1999," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 341, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Wahyudi, Imam & Luxianto, Rizky & Iwani, Niken & Sulung, Liyu Adhika Sari, 2008. "Early Warning System in ASEAN Countries Using Capital Market Index Return: Modified Markov Regime Switching Model," MPRA Paper 59723, University Library of Munich, Germany, revised 16 Jul 2010.
- Eric Ghysels, 1993.
"A time series model with periodic stochastic regime switching,"
Discussion Paper / Institute for Empirical Macroeconomics
84, Federal Reserve Bank of Minneapolis.
- Ghysels, E., 1993. "A Time Series Model with Periodic Stochastic Regime Switching," Cahiers de recherche 9314, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Andrea Carriero & Massimiliano Marcellino, 2011.
"Sectoral Survey‐based Confidence Indicators for Europe,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(2), pages 175-206, April.
- Andrea Carriero & Massimiliano Marcellino, 2007. "Sectoral Survey-based Confidence Indicators for Europe," Working Papers 320, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Marco Bonomo & Cristina Terra, 1999. "The Political Economy of Exchange Rate Policy in Brazil: 1964-1997," Research Department Publications 3065, Inter-American Development Bank, Research Department.
- Paul Castillo & Alberto Humala & Vicente Tuesta, 2007. "Monetary Policy, Regime Shifts, and Inflation Uncertainty in Peru (1949-2006)," Working Papers 2007-005, Banco Central de Reserva del Perú.
- Giampiero M. Gallo & Edoardo Otranto, 2012. "Realized Volatility and Change of Regimes," Econometrics Working Papers Archive 2012_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Jul 2012.
- Simon van Norden & Huntley Schaller & ), 1995. "Regime Switching in Stock Market Returns," Econometrics 9502002, University Library of Munich, Germany.
- M. Araceli Rodríguez López, "undated". "Variables fundamentales o ataques "Self-fulfilling"? Una explicación a las crisis de credibilidad de la peseta espanola," Studies on the Spanish Economy 90, FEDEA.
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- Simon van Norden & Robert Vigfusson, 1996. "Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?," Meeting papers 9603001, University Library of Munich, Germany.
- Martín Solá & Zacharias Psaradakis & Fabio Spagnolo & Nicola Spagnolo, 2010. "Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities," Department of Economics Working Papers 2010-12, Universidad Torcuato Di Tella.
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"Bank of England Interest Rate Announcements and the Foreign Exchange Market,"
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- Emna Trabelsi, 2011.
"Does asymmetric information play a role in explaining the Asian crisis? Application to Indonesian and Malaysian cases using a two-state Markov Switching model,"
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"Hedging sudden stops and precautionary contractions,"
Journal of Development Economics, Elsevier, vol. 85(1-2), pages 28-57, February.
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- Andrew J. Holliday & Gregory P. Hopper, 1996. "Are there regimes of antitrust enforcement? An empirical analysis," Working Papers 96-21, Federal Reserve Bank of Philadelphia.
- Pan, Zhiyuan & Xiao, Dongli & Dong, Qingma & Liu, Li, 2022. "Structural breaks, macroeconomic fundamentals and cross hedge ratio," Finance Research Letters, Elsevier, vol. 47(PA).
- Kolver Hernandez & Aslı Leblebicioğlu, 2012. "A regime-switching analysis of pass-through," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 148(3), pages 523-552, September.
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"La estructura de la deuda pública en México: Lecciones y perspectivas,"
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- Fausto Hernández Trillo & Alejandro Villagómez Amezcua, 2000. "La estructura de la deuda pública en México: Lecciones y perspectivas," Research Department Publications 3104, Inter-American Development Bank, Research Department.
- Gross, Marco & Binder, Michael, 2013. "Regime-switching global vector autoregressive models," Working Paper Series 1569, European Central Bank.
- Kólver Hernández & Asli Leblebicioglu, 2008. "A Regime Switching Analysis of Exchange Rate Pass-through," Working Papers 08-17, University of Delaware, Department of Economics.
- Kerekes, Monika, 2009. "Growth miracles and failures in a Markov switching classification model of growth," Discussion Papers 2009/11, Free University Berlin, School of Business & Economics.