A MULTIVARIATE REGIME SWITCHING APPROACH TO THE RELATION BETWEEN THE STOCK MARKET, THE INTEREST RATE AND OUTPUT

DOI10.1142/S021902490800497XMaRDI QIDQ3606397zbMATH OpenOpenAlexFDO

Authors Angelos Kanas

Publication date 26 February 2009

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s021902490800497x

zbMATH Keywords

impulse responsesregimesproxy hypothesis

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Efficient Tests for an Autoregressive Unit Root
• Markov-switching vector autoregressions. Modelling, statistical inference, and application to business cycle analysis

Cited in

(7)

• Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data
• Sensitivity of stock returns to changes in the term structure of interest rates -- evidence from the German market
• The reaction of the WIG stock market index to changes in the interest rates on bank deposits
• Regime changes and interest rate risk
• Growth, Saving, Financial Markets, and Markov Switching Regimes
• Stock prices, output and the monetary regime
• scientific article; zbMATH DE number 7247637 (Why is no real title available?)

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