Interaction of Financial Markets, Sentiment Bubble, and Burst
$ 49.5
Description
This Book Is A Collection Of Articles On Applied Econometrics. The Research Varies On Volatility And Structural Breaks/ Regime Switching On Equity, Forex, And Bond Markets. With Rigorous Econometric Methodology The Analysis Is Done For Forex Markets, Interaction Of Equities And Bond Markets, Identification Of Financial Bubble In Gold And It's Propagation To Equity Markets Post-Burst Of The Bubble, And The Impact Of Covid -19 On The Joint Interaction Of Consumer Sentiment And Aggregate Stock Market. Interesting Results Are Found In All The Articles, (E.G. Covid-19 Influences Both The Long Run Correlation And Volatilities Of Consumer Sentiment Index And Russell 3000 Index After Controlling For Regime Switching Effects). The Article Ond Bubble Formation In Gold Uses Markov-Switching Augmented Dicky-Fuller Test For Identification Of Bubble And How Fast It Spreads In The Financial Markets. Another Article, Decomposes The Long Time Series Data Into Sub-Periods Of Short-Term Time Series And Measures The Volatilities Of Forex Rates For Each-Sub-Periods. The Interaction Of Bond, Forex, And Equities Markets Are Also Studied After Applying For Structural Breaks. Own And Cross Volatilities' Persistence And Shock Parameters Are Seen To Vary For Each Sub-Period.