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Citations for "A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market"

by Christopher M. Turner & Richard Startz & Charles R. Nelson

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  1. Tobias Adrian & Joshua Rosenberg, 2006. "Stock returns and volatility: pricing the short-run and long-run components of market risk," Staff Reports, Federal Reserve Bank of New York 254, Federal Reserve Bank of New York.
  2. Massimo Guidolin & Allan Timmerman, 2005. "An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns," Working Papers, Federal Reserve Bank of St. Louis 2005-003, Federal Reserve Bank of St. Louis.
  3. Mila Getmansky & Andrew W. Lo & Igor Makarov, 2003. "An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns," NBER Working Papers 9571, National Bureau of Economic Research, Inc.
  4. Jensen, Mark J & Maheu, John M, 2013. "Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis," MPRA Paper 52132, University Library of Munich, Germany.
  5. Andrew Ang & Li Gu & Yael V. Hochberg, 2006. "Is IPO Underperformance a Peso Problem?," NBER Working Papers 12203, National Bureau of Economic Research, Inc.
  6. Nam, Kiseok & Pyun, Chong Soo & Arize, Augustine C., 2002. "Asymmetric mean-reversion and contrarian profits: ANST-GARCH approach," Journal of Empirical Finance, Elsevier, Elsevier, vol. 9(5), pages 563-588, December.
  7. Nelson, Charles R & Piger, Jeremy & Zivot, Eric, 2001. "Markov Regime Switching and Unit-Root Tests," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 19(4), pages 404-15, October.
  8. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "There is a Risk-Return Tradeoff After All," CIRANO Working Papers, CIRANO 2004s-24, CIRANO.
  9. Turan Bali & Kamil Yilmaz, 2009. "The Intertemporal Relation between Expected Return and Risk on Currency," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum 0909, Koc University-TUSIAD Economic Research Forum, revised Nov 2009.
  10. Massimo Guidolin & Giovanna Nicodano, 2007. "Managing international portfolios with small capitalization stocks," Working Papers, Federal Reserve Bank of St. Louis 2007-030, Federal Reserve Bank of St. Louis.
  11. Bulla, Jan & Mergner, Sascha & Bulla, Ingo & Sesboüé, André & Chesneau, Christophe, 2010. "Markov-switching Asset Allocation: Do Profitable Strategies Exist?," MPRA Paper 21154, University Library of Munich, Germany.
  12. Psaradakis, Zacharias & Sola, Martin, 1998. "Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching," Journal of Econometrics, Elsevier, Elsevier, vol. 86(2), pages 369-386, June.
  13. Wu-Jen Chuang & Liang-Yuh Ou-Yang & Wen-Chen Lo, 2009. "Nonlinear Market Dynamics Between Stock Returns And Trading Volume: Empirical Evidences From Asian Stock Markets," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 56, pages 621-634, November.
  14. René Garcia, 1995. "Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models," CIRANO Working Papers, CIRANO 95s-07, CIRANO.
  15. Tim Bollerslev & Hao Zhou, 2003. "Volatility puzzles: a unified framework for gauging return-volatility regressions," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2003-40, Board of Governors of the Federal Reserve System (U.S.).
  16. Li, Hong, 2013. "Integration versus segmentation in China's stock market: An analysis of time-varying beta risks," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 25(C), pages 88-105.
  17. Choi, Kyongwook & Hammoudeh, Shawkat, 2010. "Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment," Energy Policy, Elsevier, Elsevier, vol. 38(8), pages 4388-4399, August.
  18. Girard, Eric & Rahman, Hamid & Zaher, Tarek, 2003. "On market price of risk in Asian capital markets around the Asian flu," International Review of Financial Analysis, Elsevier, Elsevier, vol. 12(3), pages 241-265.
  19. Ryan SULEIMANN, 2003. "The Contagion Effect Between the Volatilities of the NASDAQ-100 and the IT.CA :A Univariate and A Bivariate Switching Approach," Econometrics, EconWPA 0307002, EconWPA, revised 18 Jul 2003.
  20. Hamilton, James D., 1996. "Specification testing in Markov-switching time-series models," Journal of Econometrics, Elsevier, Elsevier, vol. 70(1), pages 127-157, January.
  21. Guidolin, Massimo & Timmermann, Allan, 2007. "Asset allocation under multivariate regime switching," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 31(11), pages 3503-3544, November.
  22. Bandi, Federico M. & Perron, Benoît, 2008. "Long-run risk-return trade-offs," Journal of Econometrics, Elsevier, Elsevier, vol. 143(2), pages 349-374, April.
  23. Bulla, Jan, 2009. "Hidden Markov models with t components. Increased persistence and other aspects," MPRA Paper 21830, University Library of Munich, Germany.
  24. Xi, Xiaojing & Mamon, Rogemar, 2011. "Parameter estimation of an asset price model driven by a weak hidden Markov chain," Economic Modelling, Elsevier, Elsevier, vol. 28(1-2), pages 36-46, January.
  25. Llubos Pástor, 2001. "The Equity Premium and Structural Breaks," Journal of Finance, American Finance Association, American Finance Association, vol. 56(4), pages 1207-1239, 08.
  26. Ramaprasad Bhar & Shigeyuki Hamori, 2006. "Empirical investigation on the relationship between Japanese and Asian emerging equity markets," Applied Financial Economics Letters, Taylor and Francis Journals, Taylor and Francis Journals, vol. 2(2), pages 77-86, March.
  27. Tobias Adrian & Erkko Etula, 2010. "Funding liquidity risk and the cross-section of stock returns," Staff Reports, Federal Reserve Bank of New York 464, Federal Reserve Bank of New York.
  28. Aloui, Chaker & Jammazi, Rania, 2009. "The effects of crude oil shocks on stock market shifts behaviour: A regime switching approach," Energy Economics, Elsevier, Elsevier, vol. 31(5), pages 789-799, September.
  29. De Angelis, L & Paas, L.J., 2009. "The dynamic analysis and prediction of stock markets through the latent Markov model," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics 0053, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  30. John M. Maheu & Thomas H. McCurdy, 2001. "Nonlinear Features of Realized FX Volatility," CIRANO Working Papers, CIRANO 2001s-42, CIRANO.
  31. Emrah İ. Çevik & Turhan Korkmaz & Erdal Atukeren, 2012. "Business confidence and stock returns in the USA: a time-varying Markov regime-switching model," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 22(4), pages 299-312, February.
  32. Chevallier, Julien, 2011. "Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models," Economic Modelling, Elsevier, Elsevier, vol. 28(6), pages 2634-2656.
  33. Chikashi Tsuji, 2003. "Is Volatility the Best Predictor of Market Crashes?," Asia-Pacific Financial Markets, Springer, Springer, vol. 10(2), pages 163-185, September.
  34. Nam, Kiseok & Pyun, Chong Soo & Avard, Stephen L., 2001. "Asymmetric reverting behavior of short-horizon stock returns: An evidence of stock market overreaction," Journal of Banking & Finance, Elsevier, Elsevier, vol. 25(4), pages 807-824, April.
  35. Alexander, Carol & Kaeck, Andreas, 2008. "Regime dependent determinants of credit default swap spreads," Journal of Banking & Finance, Elsevier, Elsevier, vol. 32(6), pages 1008-1021, June.
  36. Jinho Bae, 2011. "Does knowing the volatility states affect the market risk premium?," Annals of Finance, Springer, Springer, vol. 7(1), pages 83-94, February.
  37. Meenagh, David & Minford, Patrick & Peel, David, 2007. "Simulating stock returns under switching regimes - A new test of market efficiency," Economics Letters, Elsevier, Elsevier, vol. 94(2), pages 235-239, February.
  38. Haas, Markus & Mittnik, Stefan, 2008. "Multivariate regimeswitching GARCH with an application to international stock markets," CFS Working Paper Series, Center for Financial Studies (CFS) 2008/08, Center for Financial Studies (CFS).
  39. Chang-Jin Kim & James C. Morley & Charles Nelson, 1999. "Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices?," Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington 0028, Department of Economics at the University of Washington.
  40. Shively, Philip A., 2007. "Asymmetric temporary and permanent stock-price innovations," Journal of Empirical Finance, Elsevier, Elsevier, vol. 14(1), pages 120-130, January.
  41. L. Vanessa Smith & Takashi Yamagata, 2008. "Firm Level Volatility-Return Analysis using Dynamic Panels," Discussion Papers, Department of Economics, University of York 08/09, Department of Economics, University of York.
  42. Chen, Shiu-Sheng, 2010. "Do higher oil prices push the stock market into bear territory?," Energy Economics, Elsevier, Elsevier, vol. 32(2), pages 490-495, March.
  43. Hentschel, Ludger & Campbell, John, 1992. "No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns," Scholarly Articles 3220232, Harvard University Department of Economics.
  44. Massimo Guidolin & Carrie Fangzhou Na, 2007. "The economic and statistical value of forecast combinations under regime switching: an application to predictable U.S. returns," Working Papers, Federal Reserve Bank of St. Louis 2006-059, Federal Reserve Bank of St. Louis.
  45. John M. Maheu & Thomas H. McCurdy & Yong Song, 2012. "Components of Bull and Bear Markets: Bull Corrections and Bear Rallies," Journal of Business & Economic Statistics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 30(3), pages 391-403, February.
  46. Taoufik Bouezmarni & Jeroen V.K. Rombouts & Abderrahim Taamouti, 2009. "A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality," Cahiers de recherche, CIRPEE 0927, CIRPEE.
  47. Gonzalez, Liliana & Powell, John G. & Shi, Jing & Wilson, Antony, 2005. "Two centuries of bull and bear market cycles," International Review of Economics & Finance, Elsevier, Elsevier, vol. 14(4), pages 469-486.
  48. Ryan SULEIMANN, 2003. "Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach," Econometrics, EconWPA 0307004, EconWPA, revised 18 Jul 2003.
  49. John M Maheu & Thomas H McCurdy & Yong Song, 2009. "Extracting bull and bear markets from stock returns," Working Papers, University of Toronto, Department of Economics tecipa-369, University of Toronto, Department of Economics.
  50. Massimo Guidolin & Allan Timmerman, 2005. "Optimal portfolio choice under regime switching, skew and kurtosis preferences," Working Papers, Federal Reserve Bank of St. Louis 2005-006, Federal Reserve Bank of St. Louis.
  51. J. Cuñado & L. Gil-Alana & F. Gracia, 2009. "US stock market volatility persistence: evidence before and after the burst of the IT bubble," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 33(3), pages 233-252, October.
  52. Huntley Schaller & Simon Van Norden, 1997. "Regime switching in stock market returns," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 7(2), pages 177-191.
  53. Lubos Pastor & Meenakshi Sinha & Bhaskaran Swaminathan, 2006. "Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital," NBER Working Papers 11941, National Bureau of Economic Research, Inc.
  54. Hammoudeh, Shawkat & Choi, Kyongwook, 2007. "Characteristics of permanent and transitory returns in oil-sensitive emerging stock markets: The case of GCC countries," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 17(3), pages 231-245, July.
  55. Bekaert, Geert & Wu, Guojun, 2000. "Asymmetric Volatility and Risk in Equity Markets," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 13(1), pages 1-42.
  56. Calvet, Laurent E. & Fisher, Adlai J., 2007. "Multifrequency news and stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 86(1), pages 178-212, October.
  57. Guidolin, Massimo & Ono, Sadayuki, 2006. "Are the dynamic linkages between the macroeconomy and asset prices time-varying?," Journal of Economics and Business, Elsevier, Elsevier, vol. 58(5-6), pages 480-518.
  58. Amira, Khaled & Taamouti, Abderrahim & Tsafack, Georges, 2011. "What drives international equity correlations? Volatility or market direction?," Journal of International Money and Finance, Elsevier, Elsevier, vol. 30(6), pages 1234-1263, October.
  59. Wasim, Ahmad & Bandi, Kamaiah, 2011. "Identifying regime shifts in Indian stock market: A Markov switching approach," MPRA Paper 37174, University Library of Munich, Germany, revised 08 Mar 2012.
  60. Yueh-Neng Lin & Ken Hung, 2008. "Is Volatility Priced?," Annals of Economics and Finance, Society for AEF, vol. 9(1), pages 39-75, May.
  61. Taamouti, Abderrahim, 2009. "Analytical Value-at-Risk and Expected Shortfall under regime-switching," Finance Research Letters, Elsevier, Elsevier, vol. 6(3), pages 138-151, September.
  62. Ryan SULEIMANN, 2003. "New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach," Econometrics, EconWPA 0307003, EconWPA, revised 18 Jul 2003.
  63. Luis Catão & Allan Timmermann, 2003. "Country and Industry Dynamics in Stock Returns," IMF Working Papers, International Monetary Fund 03/52, International Monetary Fund.
  64. Bulla, Jan & Bulla, Ingo, 2006. "Stylized facts of financial time series and hidden semi-Markov models," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 51(4), pages 2192-2209, December.
  65. Clara I. Gonzalez & Ricardo Gimeno, 2008. "Financial Analysts impact on Stock Volatility. A Study on the Pharmaceutical Sector," Working Papers 2008-19, FEDEA.
  66. Angelidis, Timotheos & Tessaromatis, Nikolaos, 2009. "Idiosyncratic risk matters! A regime switching approach," International Review of Economics & Finance, Elsevier, Elsevier, vol. 18(1), pages 132-141, January.
  67. Don U.A. Galagedera & Roland Shami, 2004. "Association between Markov regime-switching market volatility and beta risk: Evidence from Dow Jones industrial securities," Finance, EconWPA 0406011, EconWPA.
  68. Nam, Kiseok & Pyun, Chong Soo & Kim, Sei-Wan, 2003. "Is asymmetric mean-reverting pattern in stock returns systematic? Evidence from Pacific-basin markets in the short-horizon," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 13(5), pages 481-502, December.
  69. Massimo Guidolin & Stuart Hyde, 2007. "What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model," Working Papers, Federal Reserve Bank of St. Louis 2006-029, Federal Reserve Bank of St. Louis.
  70. Qian, Hang, 2011. "Bayesian Portfolio Selection in a Markov Switching Gaussian Mixture Model," MPRA Paper 35561, University Library of Munich, Germany.
  71. Fabio Fornari, 2002. "The size of the equity premium," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 447, Bank of Italy, Economic Research and International Relations Area.
  72. Anderson, Evan W. & Ghysels, Eric & Juergens, Jennifer L., 2009. "The impact of risk and uncertainty on expected returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 94(2), pages 233-263, November.
  73. Massimo Guidolin & Giovanna Nicodano, 2007. "Small caps in international equity portfolios: the effects of variance risk," Working Papers, Federal Reserve Bank of St. Louis 2005-075, Federal Reserve Bank of St. Louis.
  74. Apostolos Thomadakis, 2012. "Contagion or Flight-to-Quality Phenomena in Stock and Bond Returns," School of Economics Discussion Papers, School of Economics, University of Surrey 0612, School of Economics, University of Surrey.
  75. James Morley, 2000. "Is There a Positive Intertemporal Tradeoff Between Risk and Return After All?," Econometric Society World Congress 2000 Contributed Papers, Econometric Society 0915, Econometric Society.
  76. John M. Maheu & Thomas H. McCurdy, 2007. "How useful are historical data for forecasting the long-run equity return distribution?," Working Paper Series, The Rimini Centre for Economic Analysis 19-07, The Rimini Centre for Economic Analysis, revised Jul 2007.
  77. Elliott, Robert J. & Siu, Tak Kuen & Badescu, Alexandru, 2011. "On pricing and hedging options in regime-switching models with feedback effect," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 35(5), pages 694-713, May.
  78. Vanden, Joel M., 2005. "Equilibrium analysis of volatility clustering," Journal of Empirical Finance, Elsevier, Elsevier, vol. 12(3), pages 374-417, June.
  79. Charles Nelson & Jeremy Piger & Eric Zivot, 1999. "Unit Root Tests in the Presence of Markov Regime-Switching," Working Papers, University of Washington, Department of Economics 0040, University of Washington, Department of Economics.
  80. Shawky, Hany A. & Marathe, Achla, 1995. "Expected stock returns and volatility in a two-regime market," Journal of Economics and Business, Elsevier, Elsevier, vol. 47(5), pages 409-421, December.
  81. Chan, Kam C. & Cheng, Louis T. W. & Lung, Peter P., 2003. "Moneyness and the response of the implied volatilities to price changes: The empirical evidence from HSI options," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 11(4), pages 527-553, September.
  82. Georgios Kouretas & Manolis Syllignakis, 2012. "Switching Volatility in Emerging Stock Markets and Financial Liberalization: Evidence from the new EU Member Countries," Central European Journal of Economic Modelling and Econometrics, CEJEME, CEJEME, vol. 4(2), pages 65-93, June.
  83. Chau-Jung Kuo & Su-Lien Lu, 2005. "Taiwan's financial holding companies: an empirical investigation based on Markov regime-switching model," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 37(5), pages 593-605.
  84. Timmermann, Allan, 2000. "Moments of Markov switching models," Journal of Econometrics, Elsevier, Elsevier, vol. 96(1), pages 75-111, May.
  85. Jean-Marie Dufour & René García & Abderrahim Taamouti, 2008. "Measuring causality between volatility and returns with high-frequency data," Economics Working Papers we084422, Universidad Carlos III, Departamento de Economía.
  86. Scott Mayfield, E., 2004. "Estimating the market risk premium," Journal of Financial Economics, Elsevier, Elsevier, vol. 73(3), pages 465-496, September.
  87. Thadavillil Jithendranathan, 2004. "Time-varying Correlations of Russian and U.S. Equity Returns," International Finance, EconWPA 0403006, EconWPA.
  88. Massimo Guidolin & Allan Timmermann, 2008. "Size and Value Anomalies under Regime Shifts," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 6(1), pages 1-48, Winter.
  89. Li, Junye, 2011. "Volatility components, leverage effects, and the return-volatility relations," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(6), pages 1530-1540, June.
  90. Chen, Shiu-Sheng, 2011. "Lack of consumer confidence and stock returns," Journal of Empirical Finance, Elsevier, Elsevier, vol. 18(2), pages 225-236, March.
  91. Mark J. Holmes & Maghrebi Nabil, 2002. "Non-Linearities, Regime Switching and the Relationship Between Asian Equity and Foreign Exchange Markets," International Economic Journal, Taylor & Francis Journals, Taylor & Francis Journals, vol. 16(4), pages 121-139.
  92. Massimo Guidolin & Giovanna Nicodano, 2010. "Ex Post Portfolio Performance with Predictable Skewness and Kurtosis," Carlo Alberto Notebooks, Collegio Carlo Alberto 191, Collegio Carlo Alberto.
  93. Bollerslev, Tim & Zhou, Hao, 2006. "Volatility puzzles: a simple framework for gauging return-volatility regressions," Journal of Econometrics, Elsevier, Elsevier, vol. 131(1-2), pages 123-150.
  94. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, American Finance Association, vol. 48(5), pages 1779-1801, December.
  95. Sen, Rituparna & Hsieh, Fushing, 2009. "A note on testing regime switching assumption based on recurrence times," Statistics & Probability Letters, Elsevier, Elsevier, vol. 79(24), pages 2443-2450, December.
  96. Mahfuzul Haque & Imen Kouki, 2009. "Effect of 9/11 on the conditional time-varying equity risk premium: evidence from developed markets," Journal of Risk Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 10(3), pages 261-276, May.
  97. Kim, Chang-Jin & Piger, Jeremy & Startz, Richard, 2008. "Estimation of Markov regime-switching regression models with endogenous switching," Journal of Econometrics, Elsevier, Elsevier, vol. 143(2), pages 263-273, April.
  98. Lai, Jing-yi, 2012. "Shock-dependent conditional skewness in international aggregate stock markets," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 52(1), pages 72-83.
  99. Massimo Guidolin & Stuart Hyde, 2012. "Optimal Portfolios for Occupational Funds under Time-Varying Correlations in Bull and Bear Markets? Assessing the Ex-Post Economic Value," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University 455, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  100. Lundblad, Christian, 2007. "The risk return tradeoff in the long run: 1836-2003," Journal of Financial Economics, Elsevier, Elsevier, vol. 85(1), pages 123-150, July.
  101. Sean D. Campbell, 2002. "Specification Testing and Semiparametric Estimation of Regime Switching Models: An Examination of the US Short Term Interest Rate," Working Papers, Brown University, Department of Economics 2002-26, Brown University, Department of Economics.
  102. Banerjee, Prithviraj S. & Doran, James S. & Peterson, David R., 2007. "Implied volatility and future portfolio returns," Journal of Banking & Finance, Elsevier, Elsevier, vol. 31(10), pages 3183-3199, October.
  103. Hatemi-J, Abdulnasser & Irandoust, Manuchehr, 2011. "The dynamic interaction between volatility and returns in the US stock market using leveraged bootstrap simulations," Research in International Business and Finance, Elsevier, Elsevier, vol. 25(3), pages 329-334, September.
  104. Carol Alexander & Andreas Kaeck, 2006. "Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices," ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University icma-dp2006-08, Henley Business School, Reading University.
  105. Cunado, J. & Gil-Alana, L.A. & Gracia, Fernando Perez de, 2010. "Mean reversion in stock market prices: New evidence based on bull and bear markets," Research in International Business and Finance, Elsevier, Elsevier, vol. 24(2), pages 113-122, June.
  106. MeiChi Huang, 2013. "The Role of People’s Expectation in the Recent US Housing Boom and Bust," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 46(3), pages 452-479, April.
  107. Frédérique BEC & Songlin ZENG, 2013. "Do Stock Returns Rebound After Bear Markets? An Empirical Analysis From Five OECD Countries," THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise 2013-21, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  108. Bali, Turan G., 2008. "The intertemporal relation between expected returns and risk," Journal of Financial Economics, Elsevier, Elsevier, vol. 87(1), pages 101-131, January.
  109. Marco Bazzi & Francisco Blasques & Siem Jan Koopman & and Andre Lucas, 2014. "Time Varying Transition Probabilities for Markov Regime Switching Models," Tinbergen Institute Discussion Papers, Tinbergen Institute 14-072/III, Tinbergen Institute.
  110. Yu, Jianfeng & Yuan, Yu, 2011. "Investor sentiment and the mean-variance relation," Journal of Financial Economics, Elsevier, Elsevier, vol. 100(2), pages 367-381, May.
  111. Ricardo Cao & Alicia Heras & Angeles Saavedra, 2009. "The uncertainties about the relationships risk–return–volatility in the Spanish stock market," Computational Statistics, Springer, Springer, vol. 24(1), pages 113-126, February.
  112. Cowan, Adrian M. & Joutz, Frederick L., 2006. "An unobserved component model of asset pricing across financial markets," International Review of Financial Analysis, Elsevier, Elsevier, vol. 15(1), pages 86-107.
  113. Taamouti, Abderrahim, 2012. "Moments of multivariate regime switching with application to risk-return trade-off," Journal of Empirical Finance, Elsevier, Elsevier, vol. 19(2), pages 292-308.
  114. Paul Harrison & Harold H. Zhang, . "Cyclical Variation in the Risk and Return Relation," Computing in Economics and Finance 1997, Society for Computational Economics 175, Society for Computational Economics.
  115. Chang, Kuang-Liang, 2009. "Do macroeconomic variables have regime-dependent effects on stock return dynamics? Evidence from the Markov regime switching model," Economic Modelling, Elsevier, Elsevier, vol. 26(6), pages 1283-1299, November.