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Modeling the Dependence Among Crude Oil, Stock and Exchange Rate: A Bayesian Smooth Transition Vector Autoregression.

Payap TarkhamthamWoraphon YamakaSongsak Sriboonchitta
Published in: ECONVN (2019)
Keyphrases
  • exchange rate
  • crude oil
  • stock price
  • long run
  • maximum likelihood
  • financial time series
  • foreign exchange
  • stock market
  • co occurrence
  • knowledge discovery
  • non stationary