Aggregate Australian takeovers: A review of Markov regime switching models

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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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Bibliographic Details
Main Author:	Duong, Lien
Format:	Journal Article
Published:	Wiley-Blackwell Publishing Asia 2013
Online Access:	http://hdl.handle.net/20.500.11937/35669

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