Modeling Stock Market Returns of BRICS with a Markov-Switching Dynamic Regression Model
نویسندگان
چکیده
منابع مشابه
Stock market volatility and equity returns: Evidence from a two-state Markov-switching model with regressors
Article history: Received 23 August 2011 Received in revised form 16 April 2012 Accepted 19 April 2012 Available online 5 May 2012 This paper proposes a two-state Markov-switching model for stock market returns in which the state-dependent expected returns, their variance and associated regime-switching dynamics are allowed to respond to market information. More specifically, we apply this mode...
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ژورنال
عنوان ژورنال: Journal of Economics and Behavioral Studies
سال: 2019
ISSN: 2220-6140
DOI: 10.22610/jebs.v11i3(j).2865