id	author	title	date	pages	extension	mime	words	sentence	flesch	summary	cache	txt
dem-4206	Kośko, Monika	Markov Switching Models with Application to Contagion Effect Analysis in the Capital Markets	2009	8	.pdf	application/pdf	2682	127	62	There can be found three approaches in an application of the MS models to contagion effect analysis, such as: − univariate models with the switch in variance MSH (Moore, Wang, 2007); − multivariate models with the switch in variance MSH-VAR or both in the variance and mean MSMH-VAR (Linne, 2001; Mandilaras, Bird, 2005); − the GARCH models with the Markov switching MS-GARCH (Edwards, Susmel, 2001). For two states models one of the states is interpreted as low volatility periods and the second state as high volatility periods.	cache/dem-4206.pdf	txt/dem-4206.txt
