Global ETD Search
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Showing 1 to 2 of 2 for “"Markov switching process"”.
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Essays in Empirical Asset Pricing and International Finance
… periods of heightened volatility. The regime-switching model captures co-movements in both the mean and volatility processes of asset returns. The mean dynamics incorporate PCA-derived factors that reflect global and market-specific influences, while the variance-covariance structure accounts …
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Essays on Macro-Finance Relationships
… reaction to inflation has changed over time, switching between "more active" and "less active" monetary policy regimes,: ii) the yield curve in the "more active" regime was considerably more volatile than in the "less active" regime, and: iii) on average, the slope of the yield curve in the …