Aggregate Australian takeovers: A review of Markov regime switching models
This article reviews the case of modeling merger waves in the Australian market for the period 1972–2004. Three Markov switching models are examined, the Gaussian AR(1), Poisson AR(1), and State-Space autoregressive moving average (ARMA) (1,1), to find which gives the best fit. The State-Space Marko...
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| Format: | Journal Article |
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Wiley-Blackwell Publishing Asia
2013
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| Online Access: | http://hdl.handle.net/20.500.11937/35669 |