Yongshan Cao

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Questions related from Yongshan Cao

How to establish the MSIH-AR model which is a form of Markov switching autoregressive model using python?

Hello, I'm new in the Markov Switching autoregressive model. I need some help with implementing the MSIH-AR model in Python. This model requires introducing regime state variables into the...

10 November 2023 6,725 3 View

How to perform causality in variance test in this paper: A Lagrange multiplier test for causality in variance?

Dear colleague, I am currently working on a similar topic for my thesis, and I would like to learn more about how to performed this test. Could you please share with me some guidance steps or...

13 April 2023 1,538 3 View

Whether direct quotation method or indirect quotation method is used in literature?

I have a question about one of the articles: Baruník J, Kočenda E, Vácha L. Asymmetric volatility connectedness on the forex market[J]. Journal of International Money and Finance, 2017, 77:...

25 March 2023 9,866 3 View

Having problems performing Quantile regression?

I am currently trying to analyze the impact of high levels of geopolitical uncertainty (GPR) on monetary connectivity using a quantile regression model with a quantile set at 0.95. My current...

08 March 2023 909 2 View

How to perform quantile-on-quantile regression in this paper Oil prices, US stock return, and the dependence between their quantiles?

I need to estimate a model using the quantile-on-quantile (QQ) approach, proposed by Sim and Zhou (2015) [Sim, N., Zhou, H., 2015. Oil prices, US stock return, and the dependence between their...

04 March 2023 7,645 2 View

Whether direct quotation method or Dollar Pricing method should be used in literature

I have a question about one of the articles: Baruník J, Kočenda E, Vácha L. Asymmetric volatility connectedness on the forex market[J]. Journal of International Money and Finance, 2017, 77:...

01 January 1970 6,976 4 View