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Regime Shifts in the Behaviour of International Currency and Equity Markets: A Markov-Switching Analysis
This paper examines regime switching behaviour and dynamic linkages among currency and equity markets of Eurozone, India, Japan and U.S. using a Markov-switching framework. First, we seek to characterize the market specific and common regime shifts in international stock and currency markets. Second...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Springer India
2021
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8661386/ https://www.ncbi.nlm.nih.gov/pubmed/34908653 http://dx.doi.org/10.1007/s40953-021-00273-9 |