Instrumental-variables Estimation in Markov Switching Models, with an Application to Testing the Unbiased Forward Exchange Rate Hypothesis

Instrumental-variables Estimation in Markov Switching Models, with an Application to Testing the Unbiased Forward Exchange Rate Hypothesis
Author: Fabio Spagnola
Publisher:
Total Pages: 18
Release: 2000
Genre: Economics
ISBN:


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Instrumental-variables Estimation in Markov Switching Models, with an Application to Testing the Unbiased Forward Exchange Rate Hypothesis
Language: en
Pages: 18
Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables
Language: en
Pages: 0
Authors: Fabio Spagnolo
Categories:
Type: BOOK - Published: 2004 - Publisher:

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This paper develops a model for the forward and spot exchange rate which allows for the presence of a Markov switching risk premium in the forward market and co
Advances in Markov-Switching Models
Language: en
Pages: 267
Authors: James D. Hamilton
Categories: Business & Economics
Type: BOOK - Published: 2013-06-29 - Publisher: Springer Science & Business Media

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This book is a collection of state-of-the-art papers on the properties of business cycles and financial analysis. The individual contributions cover new advance
Switching Between Chartists and Fundamentalists
Language: en
Pages: 34
Authors: Robert J. Vigfusson
Categories: Banks and banking
Type: BOOK - Published: 1996 - Publisher:

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Hidden Markov Models
Language: en
Pages: 167
Authors: Ramaprasad Bhar
Categories: Business & Economics
Type: BOOK - Published: 2006-04-18 - Publisher: Springer Science & Business Media

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Markov chains have increasingly become useful way of capturing stochastic nature of many economic and financial variables. Although the hidden Markov processes