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Applied Financial Economics Volume 18, 2008 - Issue 7
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Original Articles

An analysis of the sensitivity of Australian superannuation funds to market movements: a Markov regime switching approach

Eduardo D. Roca Department of Accounting, Finance and Economics, Griffith Business School, Griffith University, Nathan, Queensland 4111, AustraliaCorrespondence[email protected]
&
Victor S. H. Wong Department of Accounting, Finance and Economics, Griffith Business School, Griffith University, Nathan, Queensland 4111, Australia
Pages 583-597 | Published online: 25 Mar 2008

Citations (6)

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Read on this site (2)

Gurudeo Anand Tularam & Rajibur Reza. (2016) Water exchange traded funds: A study on idiosyncratic risk using Markov switching analysis. Cogent Economics & Finance 4:1.
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Zhuo Qiao, Yuming Li & Wing-Keung Wong. (2011) Regime-dependent relationships among the stock markets of the US, Australia and New Zealand: a Markov-switching VAR approach. Applied Financial Economics 21:24, pages 1831-1841.
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Articles from other publishers (4)

Namchok Chimprang, Rungrapee Phadkantha & Woraphon Yamaka. 2022. Financial Econometrics: Bayesian Analysis, Quantum Uncertainty, and Related Topics. Financial Econometrics: Bayesian Analysis, Quantum Uncertainty, and Related Topics 699 710 .
Stephanos Papadamou & Thomas Markopoulos. (2018) Interest rate pass through in a Markov-switching Vector Autoregression model: Evidence from Greek retail bank interest rates. The Journal of Economic Asymmetries 17, pages 48-60.
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Zhuo Qiao, Yuming Li & Wing-Keung Wong. (2011) Regime-Dependent Relationships Among the Stock Markets of the US, Australia, and New Zealand: A Markov Switching VAR Approach. SSRN Electronic Journal.
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Huimin Li, Adrian (Wai-kong) Cheung & Eduardo Roca. (2010) Yes, Indeed, Idiosyncratic Risk Matters to Socially Responsible Investments!. SSRN Electronic Journal.
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