Analysing yield spread and output dynamics in an endogenous Markov switching regression framework

DOI10.1007/S10690-007-9056-7MaRDI QIDQ2471739zbMATH OpenOpenAlexFDO

Authors Ramaprasad Bhar, Shigeyuki Hamori

Publication date 18 February 2008

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-007-9056-7

zbMATH Keywords

Economic growthEndogenous Markov switching regressionYield spread

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Alternative Tests of Independence between Stochastic Regressors and Disturbances
• Analysis of time series subject to changes in regime
• Estimation of Markov regime-switching regression models with endogenous switching
• Hidden Markov models. Applications to financial economics.
• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Short rate nonlinearities and regime switches.

Cited in

(2)

• Efficiently pricing barrier options in a Markov-switching framework
• Component structures of agricultural commodity futures traded on the Tokyo grain exchange

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