Markov Switching Vector Autoregressive Modelling of the Nigerian Stock Price and Oil Price Series

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...

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Bibliographic Details
Main Authors:	Emmanuel W Okereke, Onyebuchi Remy Uwaeme
Format:	Article
Language:	English
Published:	Universitas Negeri Malang 2018-12-01
Series:	Quantitative Economics Research
Online Access:	http://journal2.um.ac.id/index.php/qer/article/view/5677

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