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On the Default Probability in a Regime-Switching Regulated Market

✍ Scribed by Bo, Lijun; Wang, Yongjin; Yang, Xuewei

Book ID
115461567
Publisher
Springer US
Year
2012
Tongue
English
Weight
388 KB
Volume
16
Category
Article
ISSN
1387-5841

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## Abstract Using a time‐varying regime‐switching vector error correction approach, we find strong evidence that the NIKKEI stock index cash and futures prices are jointly characterized by regime switching, which is time‐varying and dependent upon the basis, the interest rate, the volatility of the