scientific article; zbMATH DE number 7247637

MaRDI QIDQ5120600zbMATH OpenFDO

Authors Kongliang Zhu, Woraphon Yamaka, Songsak Sriboonchitta

Publication date 15 September 2020

Full work available at URL http://thaijmath.in.cmu.ac.th/index.php/thaijmath/article/view/2487

zbMATH Keywords

BayesianMS-VECMregime probabilitiesrelationship of financial markets

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

• Price linkages in Asian equity markets: evidence bordering the Asian economic, currency and financial crises
• A MULTIVARIATE REGIME SWITCHING APPROACH TO THE RELATION BETWEEN THE STOCK MARKET, THE INTEREST RATE AND OUTPUT
• Testing for contagion in ASEAN exchange rates
• Bond market and macroeconomic stability in East Asia: a nonlinear causality analysis
• REGIME-SENSITIVE COINTEGRATION WITH AN APPLICATION TO INTEREST-RATE PARITY
• An empirical investigation of the unbiased forward exchange rate hypothesis in a regime switching market

Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

Cited in

(7)

• Dynamic causality between stock return and exchange rate: is stock-oriented hypothesis more relevant in Malaysia?
• A MULTIVARIATE REGIME SWITCHING APPROACH TO THE RELATION BETWEEN THE STOCK MARKET, THE INTEREST RATE AND OUTPUT
• The reaction of the WIG stock market index to changes in the interest rates on bank deposits
• Relationships among prices of rubber in ASEAN: Bayesian structural VAR model
• An analysis of contagion effect on ASEAN stock market using multivariate Markov switching DCC GARCH
• Bond market and macroeconomic stability in East Asia: a nonlinear causality analysis
• Convergence and interdependence between ASEAN-5 stock markets

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5120600)