A multifactor model of stock returns with endogenous regime switching
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Cited by:
- Peixin (Payton) Liu & Kuan Xu & Yonggan Zhao, 2011.
"Market regimes, sectorial investments, and time‐varying risk premiums,"
International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 7(2), pages 107-133, April.
- Peixin (Payton) Liu & Kuan Xu & Yonggan Zhao, 2010. "Market Regimes, Sectorial Investments, and Time-Varying Risk Premiums," Working Papers daleconwp2010-05, Dalhousie University, Department of Economics.
- Takahiro Komatsu & Naoki Makimoto, 2015. "Dynamic Investment Strategy with Factor Models Under Regime Switches," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 22(2), pages 209-237, May.
- Massimo Guidolin, 2013. "Markov switching models in asset pricing research," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 1, pages 3-44, Edward Elgar Publishing.
- Jieting Chen & Yuichiro Kawaguchi, 2018. "Multi-Factor Asset-Pricing Models under Markov Regime Switches: Evidence from the Chinese Stock Market," IJFS, MDPI, vol. 6(2), pages 1-19, May.
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More about this item
Keywords
Empirical asset pricing; endogenous regime switching; state-dependent models; nonstandard maximum-likelihood estimation;All these keywords.
JEL classification:
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2004-05-16 (Econometric Time Series)
- NEP-FIN-2004-05-26 (Finance)
- NEP-FMK-2004-05-26 (Financial Markets)
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