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Markov regime-switching quantile regression models and financial contagion detection

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Cited by:

  1. Oscar V. De la Torre-Torres & Evaristo Galeana-Figueroa & José Álvarez-García, 2021. "A Markov-Switching VSTOXX Trading Algorithm for Enhancing EUR Stock Portfolio Performance," Mathematics, MDPI, vol. 9(9), pages 1-28, May.
  2. Oscar V. De la Torre-Torres & José Álvarez-García & María de la Cruz del Río-Rama, 2024. "An EM/MCMC Markov-Switching GARCH Behavioral Algorithm for Random-Length Lumber Futures Trading," Mathematics, MDPI, vol. 12(3), pages 1-21, February.
  3. Yanlin Shi & Lingbing Feng & Tong Fu, 2020. "Markov Regime-Switching in-Mean Model with Tempered Stable Distribution," Computational Economics, Springer;Society for Computational Economics, vol. 55(4), pages 1275-1299, April.
  4. Youssef, Manel & Mokni, Khaled, 2021. "Oil-gold nexus: Evidence from regime switching-quantile regression approach," Resources Policy, Elsevier, vol. 73(C).
  5. Beatrice Foroni & Luca Merlo & Lea Petrella, 2023. "Expectile hidden Markov regression models for analyzing cryptocurrency returns," Papers 2301.09722, arXiv.org, revised Jan 2024.
  6. Liu, Xiaochun, 2017. "Measuring systemic risk with regime switching in tails," Economic Modelling, Elsevier, vol. 67(C), pages 55-72.
  7. Mpoha, Salifya & Bonga-Bonga, Lumengo, 2021. "Spillover effects from China and the US to global emerging markets: a dynamic analysis," MPRA Paper 109349, University Library of Munich, Germany.
  8. Xu, Hao & Li, Songsong, 2023. "What impacts foreign capital flows to China's stock markets? Evidence from financial risk spillover networks," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 559-577.
  9. Xiaochun Liu, 2017. "An integrated macro‐financial risk‐based approach to the stressed capital requirement," Review of Financial Economics, John Wiley & Sons, vol. 34(1), pages 86-98, September.
  10. Neha Seth & Monica Sighania, 2017. "Financial market contagion: selective review of reviews," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 9(4), pages 391-408, November.
  11. Youssef, Manel & Mokni, Khaled, 2020. "Modeling the relationship between oil and USD exchange rates: Evidence from a regime-switching-quantile regression approach," Journal of Multinational Financial Management, Elsevier, vol. 55(C).
  12. Aliyu, Shehu Usman Rano, 2020. "What have we learnt from modelling stock returns in Nigeria: Higgledy-piggledy?," MPRA Paper 110382, University Library of Munich, Germany, revised 06 Jun 2021.
  13. Liu Xiaochun & Luger Richard, 2018. "Markov-switching quantile autoregression: a Gibbs sampling approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(2), pages 1, April.
  14. Hendriks, Johannes Jurgens & Bonga-Bonga, Lumengo, 2020. "Sectoral dependence and contagion in the BRICS grouping: an application of the R-Vine copulas," MPRA Paper 102473, University Library of Munich, Germany.
  15. Shoukun Jiao & Wuyi Ye, 2022. "Dependence and Systemic Risk Analysis Between S&P 500 Index and Sector Indexes: A Conditional Value-at-Risk Approach," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 1203-1229, March.
  16. Oscar V. De la Torre-Torres & Francisco Venegas-Martínez & Mᵃ Isabel Martínez-Torre-Enciso, 2021. "Enhancing Portfolio Performance and VIX Futures Trading Timing with Markov-Switching GARCH Models," Mathematics, MDPI, vol. 9(2), pages 1-22, January.
  17. Mokni, Khaled, 2020. "A dynamic quantile regression model for the relationship between oil price and stock markets in oil-importing and oil-exporting countries," Energy, Elsevier, vol. 213(C).
  18. Donald Lien & Ziling Wang & Xiaojian Yu, 2021. "Optimal quantile hedging under Markov regime switching," Empirical Economics, Springer, vol. 60(5), pages 2177-2201, May.
  19. Oscar V. De la Torre-Torres & Evaristo Galeana-Figueroa & María de la Cruz Del Río-Rama & José Álvarez-García, 2022. "Using Markov-Switching Models in US Stocks Optimal Portfolio Selection in a Black–Litterman Context (Part 1)," Mathematics, MDPI, vol. 10(8), pages 1-28, April.
  20. Oscar V. De la Torre-Torres & Dora Aguilasocho-Montoya & María de la Cruz del Río-Rama, 2020. "A Two-Regime Markov-Switching GARCH Active Trading Algorithm for Coffee, Cocoa, and Sugar Futures," Mathematics, MDPI, vol. 8(6), pages 1-19, June.
  21. Oscar V. De la Torre-Torres & Evaristo Galeana-Figueroa & José Álvarez-García, 2019. "A Test of Using Markov-Switching GARCH Models in Oil and Natural Gas Trading," Energies, MDPI, vol. 13(1), pages 1-24, December.
  22. Kangogo, Moses & Volkov, Vladimir, 2022. "Detecting signed spillovers in global financial markets: A Markov-switching approach," International Review of Financial Analysis, Elsevier, vol. 82(C).
  23. Yunmi Kim & Lijuan Huo & Tae-Hwan Kim, 2020. "Dealing with Markov-Switching Parameters in Quantile Regression Models," Working papers 2020rwp-166, Yonsei University, Yonsei Economics Research Institute.
  24. Maruotti, Antonello & Petrella, Lea & Sposito, Luca, 2021. "Hidden semi-Markov-switching quantile regression for time series," Computational Statistics & Data Analysis, Elsevier, vol. 159(C).
  25. Chang, Meng-Shiuh & Kung, Chih-Chun & Chen, Meng-Wei & Tian, Yuan, 2021. "Volatility regime, inverted asymmetry, contagion, and flights in the gold market," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
  26. Ye, Wuyi & Li, Mingge & Wu, Yuehua, 2022. "A novel estimation of time-varying quantile correlation for financial contagion detection," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  27. Bouri, Elie & Lucey, Brian & Saeed, Tareq & Vo, Xuan Vinh, 2020. "Extreme spillovers across Asian-Pacific currencies: A quantile-based analysis," International Review of Financial Analysis, Elsevier, vol. 72(C).
  28. Aristeidis, Samitas & Elias, Kampouris, 2018. "Empirical analysis of market reactions to the UK’s referendum results – How strong will Brexit be?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 53(C), pages 263-286.
  29. Zhang, Yi & Zhou, Long & Chen, Yajiao & Liu, Fang, 2022. "The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
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