REGIME-SWITCHING

作品数：40被引量：35H指数：4
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相关领域：理学经济管理更多>>
相关作者：刘迪耿国强刘宣会牛华伟高月更多>>
相关机构：浙江财经大学华东师范大学西安工程大学北京大学更多>>
相关期刊：《Statistical Theory and Related Fields》《Journal of Computational Mathematics》《China & World Economy》《Frontiers of Mathematics in China》更多>>
相关基金：国家自然科学基金中国博士后科学基金国家教育部博士点基金河北省自然科学基金更多>>
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An impact assessment of the COVID‑19 pandemic on Japanese and US hotel stocks
《Financial Innovation》2023年第1期2507-2557,共51页Takashi Kanamura 
This study proposes two new regime-switching volatility models to empirically analyze the impact of the COVID-19 pandemic on hotel stock prices in Japan compared with the US,taking into account the role of stock marke...
关键词：Hotel industry Asset price volatility COVID-19 REGIME-SWITCHING Infection speed 
Regime specific spillover across cryptocurrencies and the role of COVID‑19被引量：4
《Financial Innovation》2021年第1期91-114,共24页Syed Jawad Hussain Shahzad Elie Bouri Sang Hoon Kang Tareq Saeed 
The fourth author acknowledges that the Deanship of Scientific Research(DSR)at King Abdulaziz University,Jeddah,Saudi Arabia funded this project,under Grant No.(FP-71-42);The third author acknowledges the support of the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea(NRF-2020S1A5B8103268).
The aim of this study is to examine the daily return spillover among 18 cryptocurrencies under low and high volatility regimes,while considering three pricing factors and the effect of the COVID-19 outbreak.To do so,w...
关键词：REGIME-SWITCHING Volatility regimes SPILLOVERS Connectedness Cryptocurrencies COVID-19 
Investigating liquidity constraints as a channel of contagion: a regime switching approach
《Financial Innovation》2020年第1期435-455,共21页Rajan Sruthi Santhakumar Shijin 
The present study investigates the timing and repercussion of the subprime crisis of 2008–09 in a regime-switching model.The interdependence and co-movement of financial markets in different countries has been enhanc...
关键词：Financial crisis Financial contagion CO-MOVEMENT Emerging market REGIME-SWITCHING 
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