Non-linearities, regime switching and the relationship between Asian equity and foreign exchange markets
This paper explores the possibility of a non-linear relationship between Asian equity and foreign exchange markets. The non-linearity is modeled using a regime-switching Markov model. We find evidence of non-linearities where the effect of changes in the exchange rate on stock market returns is regi...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Default Preprint |
| Published: |
2002
|
| Subjects: | |
| Online Access: | https://hdl.handle.net/2134/359 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|