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

DOI10.1142/S021902490800497XzbMATH Open1185.91189OpenAlexW2001445517MaRDI QIDQ3606397FDOQ3606397

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

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zbMATH Keywords

impulse responsesregimesproxy hypothesis

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (4)

• Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data
• Growth, Saving, Financial Markets, and Markov Switching Regimes
• Stock prices, output and the monetary regime
• Title not available (Why is that?)

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