Univariate and Multivariate Markov Regime Switching Models for Currency Crisis Prediction

Author

Roberto S. Mariano, Singapore Management UniversityFollow

Publication Type

Conference Paper

Publication Date

5-2003

Discipline

Econometrics

Research Areas

Econometrics

Publication

New Frontiers in Financial Volatility Modelling

Citation

Mariano, Roberto S.. Univariate and Multivariate Markov Regime Switching Models for Currency Crisis Prediction. (2003). New Frontiers in Financial Volatility Modelling.
Available at: https://ink.library.smu.edu.sg/soe_research/811