Blar i NTNU Open på forfatter "Wiese, Thor August Mediaas"
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The Effects of Crude Oil on Stock Markets with use of Markov Switching Models
Wiese, Thor August Mediaas (Master thesis, 2016)In this thesis, a two regime Markov switching (MS) model is implemented to examine the relationship between crude oil, both brent oil and WTI, and stock markets. In particular, the model is applied to stock markets in both ...