Markov Switching Vector Autoregressive Modelling of the Nigerian Stock Price and Oil Price Series
This article studied the relationship between stock prices and crude oil prices of Nigeria using a Markov switching model. Certain properties of the stock price series and crude oil price series such as breaks and stationarity, which are necessary before choosing a multivariate time series model for...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Universitas Negeri Malang
2018-12-01
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| Series: | Quantitative Economics Research |
| Online Access: | http://journal2.um.ac.id/index.php/qer/article/view/5677 |