Exchange Rates and Net Portfolio Flows: A Markov-Switching Approach

DOI10.1007/978-1-4899-7442-6_5zbMath1418.91446OpenAlexW20550764MaRDI QIDQ4562478

Nicola Spagnolo, Fabio Spagnolo, Faek Menla Ali

Publication date: 21 December 2018

Published in: International Series in Operations Research & Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4899-7442-6_5

zbMATH Keywords

Akaike information criterionexchange rateEuro areaexchange rate changehigh regime

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Portfolio theory (91G10)

Cites Work

• Analysis of time series subject to changes in regime
• ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS
• On a measure of lack of fit in time series models
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

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