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Keywords: Markov switching
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Journal Articles
Journal:
Journal of Accounting Literature
Journal of Accounting Literature (2025) 47 (5): 99–109.
Published: 31 October 2024
... are established through a Markov switching vector error correction model (MS-VECM). Findings The authors observe time variation in causality with the volatility of volatility. In particular, demand pressures for VIX ETNs and futures can change in different regimes. The authors observe two regimes where regime...
