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Regime Changes and Financial Markets. (2011). Timmermann, Allan ; Ang, Andrew.
In: CEPR Discussion Papers.
RePEc:cpr:ceprdp:8480.

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  2. How Vulnerable is the Turkish Stock Market to the Credit Default Swap? Evidence from the Markov Switching GARCH Model. (2023). Karagol, Veysel.
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  3. Nonlinear relationship between monetary policy and stock returns: Evidence from the U.S.. (2023). Jiang, Cheng ; Chauvet, Marcelle.
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  5. What have we learnt from modelling stock returns in Nigeria: Higgledy-piggledy?. (2021). Rano, Shehu Usman.
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  6. The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets. (2021). Matkovskyy, Roman ; Jalan, Akanksha ; Yarovaya, Larisa.
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  7. Portfolio Construction Using Stratified Models. (2021). Boyd, Stephen ; Barratt, Shane ; Tuck, Jonathan.
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  9. Crisis Risk Prediction with Concavity from Polymodel. (2020). Douady, Raphael ; Kuang, Yao.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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  10. Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching: Evidence from over a century of data. (2020). Ji, Qiang ; GUPTA, RANGAN ; Cunado, Juncal ; Liu, Bing-Yue.
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  11. Are Carbon Leader Indexes Related with Carbon Prices under Different Regimes?. (2020). Okay, Gulu ; Koy, Ayben.
    In: International Journal of Energy Economics and Policy.
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  12. Machine Learning Algorithms for Financial Asset Price Forecasting. (2020). Ndikum, Philip.
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  13. Investigating risk contagion initiated by endogenous liquidity shocks: evidence from the US and eurozone interbank markets. (2019). Wolfe, Simon ; Urquhart, Andrew ; Eross, Andrea .
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  14. Le modèle autorégressif autorégressif à seuil avec effet rebond : Une application aux rendements boursiers français et américains *. (2019). Bec, Frédérique ; de Gaye, Annabelle .
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  15. A regime switching skew-normal model of contagion. (2019). Fry-McKibbin, Renee ; Chan, Joshua ; Yu-Ling, Hsiao Cody ; Renee, Fry-Mckibbin.
    In: Studies in Nonlinear Dynamics & Econometrics.
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  16. Economic regimes and stock market performance in Nigeria: Evidence from regime switching model. (2018). Rano, Shehu Usman ; Aminu, Abubakar Wambai.
    In: MPRA Paper.
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  17. Modelling Nonlinear Dynamics of Oil Futures Market. (2017). Koy, Ayben .
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  18. Risk Spillover between the US and the Remaining G7 Stock Markets Using Time-Varying Copulas with Markov Switching: Evidence from Over a Century of Data. (2017). Ji, Qiang ; GUPTA, RANGAN ; Cunado, Juncal ; Liu, Bing-Yue.
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  19. The impact of monetary policy on corporate bonds under regime shifts. (2017). Guidolin, Massimo ; Pedio, Manuela ; Orlov, Alexei G.
    In: Journal of Banking & Finance.
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  20. Asset prices regime-switching and the role of inflation targeting monetary policy. (2017). Floros, Christos ; Filis, George ; Chatziantoniou, Ioannis.
    In: Global Finance Journal.
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  21. Regime-switching based vehicle-to-building operation against electricity price spikes. (2017). Zhang, Lei ; Li, Yaoyu.
    In: Energy Economics.
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  22. Public information arrival and stock return volatility: Evidence from news sentiment and Markov Regime-Switching Approach. (2016). Shi, Yanlin ; Liu, Wai-Man ; Ho, Kin-Yip.
    In: International Review of Economics & Finance.
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  23. Volatility transmission across currencies and commodities with US uncertainty measures. (2016). Otranto, Edoardo ; Khalifa, Ahmed ; Ramchander, Sanjay ; Hammoudeh, Shawkat.
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  24. Skewness and kurtosis of multivariate Markov-switching processes. (2016). Rossi, Alessandro ; Planas, Christophe ; Fiorentini, Gabriele.
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  25. Do Regimes in Excess Stock Return Predictability Create Economic Value? An Out-of-Sample Portfolio Analysis. (2016). Guidolin, Massimo ; Vasile, Fabiola ; Pedio, Manuela ; Pra, Giulia Dal .
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  26. On the Dynamic Dependence between US and other Developed Stock Markets: An Extreme-value Time-varying Copula Approach. (2015). Sghaier, Nadia ; Boubaker, Heni.
    In: Bankers, Markets & Investors.
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  27. Asset prices regime-switching and the role of inflation targeting monetary policy. (2015). Floros, Christos ; Filis, George ; Chatziantoniou, Ioannis.
    In: MPRA Paper.
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    In: Operations Research.
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  29. The Impact of Monetary Policy on Corporate Bonds under Regime Shifts. (2015). Guidolin, Massimo ; Orlov, Alexei G ; Pedio, Manuela.
    In: Working Papers.
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  30. Do stock returns rebound after bear markets? An empirical analysis from five OECD countries. (2015). Bec, Frédérique ; Zeng, Songlin .
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  31. Modelling stock return volatility dynamics in selected African markets. (2015). Botha, Ferdi ; King, Daniel .
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  32. Markov Regime Switching Generalized Autoregressive Conditional Heteroskedastic Model and Volatility Modeling for Oil Returns. (2015). Gunay, Samet.
    In: International Journal of Energy Economics and Policy.
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  33. Time-varying Industrial Portfolio Betas under the Regime-switching Model: Evidence from the Stock Exchange of Thailand. (2015). Prukumpai, Suthawan .
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  34. THE NUMBER OF REGIMES ACROSS ASSET RETURNS: IDENTIFICATION AND ECONOMIC VALUE. (2014). Ielpo, Florian ; Gatumel, Mathieu .
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  35. On the Market Selection Hypothesis in a Mean Reverting Environment. (2014). Casna, Marco ; Barucci, Emilio.
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  36. The sensitivity of Fama-French factors to economic uncertainty. (2014). Moussa, Zakaria ; Darné, Olivier ; CHARLES, Amelie ; Darne, Olivier.
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  37. Are regime-shift sources of risk priced in the market?. (2014). Tzavalis, Elias ; Dendramis, Yiannis ; Chourdakis, Kyriakos.
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  38. Extracting portfolio management strategies from volatility transmission models in regime-changing environments: Evidence from GCC and global markets. (2014). Otranto, Edoardo ; Khalifa, Ahmed ; Hammoudeh, Shawkat ; Khalifa, Ahmed A. A., .
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  39. Understanding the Impact of Monetary Policy Shocks on the Corporate Bond Market in Good and Bad Times: A Markov Switching Model. (2014). Guidolin, Massimo ; Pedio, Manuela ; Orlov, Alexei G.
    In: BAFFI CAREFIN Working Papers.
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  40. A Regime Switching Skew-normal Model for Measuring Financial Crisis and Contagion. (2013). Hsiao, Cody Yu-Ling ; Fry-McKibbin, Renee ; Chan, Joshua ; Joshua C. C. Chan, .
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  41. Liquidity risk of corporate bond returns: conditional approach. (2013). Amihud, Yakov ; Bharath, Sreedhar T. ; Acharya, Viral V..
    In: Journal of Financial Economics.
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  42. Predicting bear and bull stock markets with dynamic binary time series models. (2013). Nyberg, Henri.
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  43. How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches. (2013). Zhang, Zhaoyong ; Ho, Kin-Yip ; Shi, Yanlin.
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  44. Forging Best Practices in Risk Management. (2012). Flannery, Mark J. ; Rossi, Cliff ; David K. A. Mordecai, ; Glasserman, Paul.
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  45. Tail Risk in Momentum Strategy Returns. (2012). Jagannathan, Ravi ; Daniel, Kent ; Kim, Soohun .
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  46. Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective. (2012). Hyde, Stuart ; Guidolin, Massimo.
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  47. The Number of Regimes Across Asset Returns: Identification and Economic Value. (2011). Ielpo, Florian ; Gatumel, Mathieu .
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  48. The Number of Regimes Across Asset Returns: Identification and Economic Value. (2011). Ielpo, Florian ; Gatumel, Mathieu .
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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  49. Credit and liquidity risks in euro area sovereign yield curves. (2011). Renne, Jean-Paul ; Monfort, Alain ; Renne, J-P., .
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  50. Bayesian Learning in UnstableSettings: Experimental Evidence Based on the Bandit Problem. (2010). Payzan-LeNestour, Elise ; LE NESTOUR, lise PAYZAN .
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  42. A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models. (1999). Nelson, Charles ; Kim, Chang-Jin.
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  43. Permanent and Transitory Nature of Recessions. (1999). Murray, Chris ; Kim, Chang-Jin.
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  44. Adaptive polar sampling with an application to a Bayes measure of value-at-risk. (1999). van Dijk, Herman ; Bos, Charles ; Bauwens, Luc.
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  45. A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models. (1998). Nelson, Charles ; Kim, Chang-Jin.
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  46. Combining Panel Data Sets with Attrition and Refreshment Samples. (1998). Ridder, Geert ; Imbens, Guido ; Hirano, Keisuke ; Rubin, Donald B..
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  47. Filtering via simulation: auxiliary particle filters. (1997). Shephard, Neil ; Pitt, Michael K.
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  48. The Long-Run U.S./U.K. Real Exchange Rate. (1996). Kim, Chang-Jin ; Engel, Charles.
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  49. Markov Chain Monte Carlo Simulation Methods in Econometrics. (1994). Greenberg, Edward ; Chib, Siddhartha .
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  50. A time series model with periodic stochastic regime switching. (1993). Ghysels, Eric.
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