Regime-Dependent Relationships among Stock Markets in Frankfurt, Vienna and Warsaw
This paper analyzes short-run relationships between German, Austrian and Polish stock market indices using the Markov Switching VAR (MSVAR) model. The impulse response function is used as the main tool and reveals two market phases. The results are useful for investors; reactions to disturbances...
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| Principais autores: | , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
University of Primorska
2015-03-01
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| coleção: | Managing Global Transitions |
| Assuntos: | |
| Acesso em linha: | http://www.fm-kp.si/zalozba/ISSN/1581-6311/13_003-025.pdf |
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