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

DOI10.1007/s10690-007-9056-7zbMath1151.91482OpenAlexW2011657360MaRDI QIDQ2471739

Shigeyuki Hamori, Ramaprasad Bhar

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

Related Items (2)

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

Cites Work

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

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