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Keywords: Markov switching VAR model
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Journal Articles
Detection of structural regimes and analyzing the impact of crude oil market on Canadian stock market: Markov regime-switching approach
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Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2022) 39 (4): 722–734.
Published: 17 January 2022
... knowledge, this is the first study to assess the effect of the oil market on TSX in different regimes using Markov-switching VAR model. Because Canada is the sixth-largest producer and exporter of oil in the world as well as the TSX as the Canada’s main stock exchange is the tenth-largest stock exchange...
