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Citations for "Regime Switches in Interest Rates"

by Andrew Ang & Geert Bekaert

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  1. Altug, Sumru G. & Bildirici, Melike, 2010. "Business Cycles around the Globe: A Regime-switching Approach," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7968, C.E.P.R. Discussion Papers.
  2. Binder, Michael & Gross, Marco, 2013. "Regime-switching global vector autoregressive models," Working Paper Series, European Central Bank 1569, European Central Bank.
  3. Costas Milas & Ilias Lekkos & Theodore Panagiotidis, 2006. "Forecasting interest rate swap spreads using domestic and international risk factors: Evidence from linear and non-linear models," Keele Economics Research Papers, Centre for Economic Research, Keele University KERP 2006/05, Centre for Economic Research, Keele University.
  4. Beyaert, Arielle & Garcia-Solanes, Jose & Perez-Castejon, Juan J., 2007. "Uncovered interest parity with switching regimes," Economic Modelling, Elsevier, Elsevier, vol. 24(2), pages 189-202, March.
  5. Massimo Guidolin & Allan Timmerman, 2005. "Term structure of risk under alternative econometric specifications," Working Papers, Federal Reserve Bank of St. Louis 2005-001, Federal Reserve Bank of St. Louis.
  6. Charles R. Nelson & Jeremy Piger & Eric Zivot, 2000. "Markov regime-switching and unit root tests," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 683, Board of Governors of the Federal Reserve System (U.S.).
  7. 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.
  8. Ahrens, R., 2002. "Predicting recessions with interest rate spreads: a multicountry regime-switching analysis," Journal of International Money and Finance, Elsevier, Elsevier, vol. 21(4), pages 519-537, August.
  9. Ryan SULEIMANN, 2003. "New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach," Econometrics, EconWPA 0307003, EconWPA, revised 18 Jul 2003.
  10. Guidolin, Massimo & Timmermann, Allan, 2009. "Forecasts of US short-term interest rates: A flexible forecast combination approach," Journal of Econometrics, Elsevier, Elsevier, vol. 150(2), pages 297-311, June.
  11. Claudio Morana & Andrea Beltratti, 2006. "Structural breaks and common factors in the volatility of the Fama-French factor portfolios," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 16(14), pages 1059-1073.
  12. Stéphane GOUTTE & Benteng Zou, 2011. "Foreign exchange rates under Markov Regime switching model," CREA Discussion Paper Series 11-16, Center for Research in Economic Analysis, University of Luxembourg.
  13. Vázquez Pérez, Jesús & Regúlez Castillo, Marta & Londoño Yarce, Juan Miguel, 2008. "Another Look to the Price-Dividend Ratio: A Markov-Switching Approach," DFAEII Working Papers 2008-09, University of the Basque Country - Department of Foundations of Economic Analysis II.
  14. Yvon Fauvel & Alain Paquet & Christian Zimmermann, 1999. "A Survey on Interest Rate Forecasting," Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal 87, CREFE, Université du Québec à Montréal.
  15. Julien Chevallier, 2012. "EUAs and CERs: Interactions in a Markov regime-switching environment," Economics Bulletin, AccessEcon, vol. 32(1), pages 86-101.
  16. Pesaran, H.M. & Timmermann, A., 2003. "How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 0306, Faculty of Economics, University of Cambridge.
  17. Hoi Wong & Tsz Wong, 2007. "Reduced-form Models with Regime Switching: An Empirical Analysis for Corporate Bonds," Asia-Pacific Financial Markets, Springer, Springer, vol. 14(3), pages 229-253, September.
  18. Hong, Yongmiao & Lin, Hai & Wang, Shouyang, 2010. "Modeling the dynamics of Chinese spot interest rates," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(5), pages 1047-1061, May.
  19. Pasquale Della Corte & Lucio Sarno & Daniel L. Thornton, 2007. "The expectation hypothesis of the term structure of very short-term rates: statistical tests and economic value," Working Papers, Federal Reserve Bank of St. Louis 2006-061, Federal Reserve Bank of St. Louis.
  20. 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.
  21. Driessen, Joost & Perotti, Enrico, 2011. "Confidence building on Euro convergence: Evidence from currency options," Journal of International Money and Finance, Elsevier, Elsevier, vol. 30(3), pages 474-491, April.
  22. Andrew Ang & Geert Bekaert, 1999. "International Asset Allocation with Time-Varying Correlations," NBER Working Papers 7056, National Bureau of Economic Research, Inc.
  23. John Driffill & Turalay Kenc & Martin Sola & Fabio Spagnolo, 2008. "On Model Selection and Markov-Switching: An Empirical Examination of Term Structure Models with Regime Shifts," Department of Economics Working Papers, Universidad Torcuato Di Tella 2008-04, Universidad Torcuato Di Tella.
  24. Ilias Lekkos & Costas Milas & Theodore Panagiotidis, 2005. "On the predictability of common risk factors in the US and UK interest rate swap markets: Evidence from non-linear and linear models," Discussion Paper Series, Department of Economics, Loughborough University 2005_9, Department of Economics, Loughborough University, revised Sep 2005.
  25. Martin Evans, 1998. "Looking Behind the U. K.Term Structure: Were there Peso Problems in Inflation?," Finance, EconWPA 9809001, EconWPA.
  26. Osmani T. Guillen & Benjamin M. Tabak, 2008. "Characterizing the Brazilian Term Structure of Interest Rates," Working Papers Series, Central Bank of Brazil, Research Department 158, Central Bank of Brazil, Research Department.
  27. Toshio Kimura & Naoki Makimoto, 2008. "Optimal Mortgage Refinancing with Regime Switches," Asia-Pacific Financial Markets, Springer, Springer, vol. 15(1), pages 47-65, March.
  28. Joanna Janczura & Rafał Weron, 2013. "Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices," AStA Advances in Statistical Analysis, Springer, Springer, vol. 97(3), pages 239-270, July.
  29. Bhar, Ramaprasad & Hammoudeh, Shawkat, 2011. "Commodities and financial variables: Analyzing relationships in a changing regime environment," International Review of Economics & Finance, Elsevier, Elsevier, vol. 20(4), pages 469-484, October.
  30. Massimo Guidolin & Sadayuki Ono, 2005. "Are the dynamic linkages between the macroeconomy and asset prices time-varying?," Working Papers, Federal Reserve Bank of St. Louis 2005-056, Federal Reserve Bank of St. Louis.
  31. Jochmann, Markus & Koop, Gary, 2011. "Regime-Switching Cointegration," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) 2011-36, Scottish Institute for Research in Economics (SIRE).
  32. 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.
  33. Beltratti, A. & Morana, C., 2006. "Breaks and persistency: macroeconomic causes of stock market volatility," Journal of Econometrics, Elsevier, Elsevier, vol. 131(1-2), pages 151-177.
  34. Georgoutsos, Dimitris A. & Migiakis, Petros M., 2013. "Heterogeneity of the determinants of euro-area sovereign bond spreads; what does it tell us about financial stability?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(11), pages 4650-4664.
  35. Ang, Andrew & Timmermann, Allan G, 2011. "Regime Changes and Financial Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8480, C.E.P.R. Discussion Papers.
  36. Markus Jochmann & Gary Koop, 2011. "Regime-Switching Cointegration," Working Paper Series, The Rimini Centre for Economic Analysis 40_11, The Rimini Centre for Economic Analysis.
  37. Yong Zeng & Shu Wu, 2004. "A General Equilibrium Model of the Term Structure of Interest Rates under Regime-switching Risk," Econometric Society 2004 North American Summer Meetings, Econometric Society 304, Econometric Society.
  38. 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.
  39. Gary M. Koop & Simon M. Potter, 2004. "Forecasting and estimating multiple change-point models with an unknown number of change points," Staff Reports, Federal Reserve Bank of New York 196, Federal Reserve Bank of New York.
  40. Gourieroux, Christian & Jasiak, Joann, 2006. "Multivariate Jacobi process with application to smooth transitions," Journal of Econometrics, Elsevier, Elsevier, vol. 131(1-2), pages 475-505.
  41. Smith, Aaron & Naik, Prasad A. & Tsai, Chih-Ling, 2006. "Markov-switching model selection using Kullback-Leibler divergence," Journal of Econometrics, Elsevier, Elsevier, vol. 134(2), pages 553-577, October.
  42. Di Maggio, Marco, 2010. "The Political Economy of the Yield Curve," MPRA Paper 20697, University Library of Munich, Germany.
  43. Laurini, M. P. & Portugal, M. S., 2003. "Markov Switching Based Nonlinear Tests for Market Efficiency Using the R$/US$ Exchange Rate," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa flwp_51, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  44. Roberta Colavecchio & Michael Funke, 2009. "Volatility Dependence across Asia-Pacific Onshore and Offshore Currency Forwards Markets," Working Papers 112009, Hong Kong Institute for Monetary Research.
  45. Galvão, Ana Beatriz, 2013. "Changes in predictive ability with mixed frequency data," International Journal of Forecasting, Elsevier, Elsevier, vol. 29(3), pages 395-410.
  46. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  47. Vo, Minh T., 2009. "Regime-switching stochastic volatility: Evidence from the crude oil market," Energy Economics, Elsevier, Elsevier, vol. 31(5), pages 779-788, September.
  48. Chan, Kam Fong & Treepongkaruna, Sirimon & Brooks, Robert & Gray, Stephen, 2011. "Asset market linkages: Evidence from financial, commodity and real estate assets," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(6), pages 1415-1426, June.
  49. Ang, Andrew & Bekaert, Geert, 2004. "The Term Structure of Real Rates and Expected Inflation," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4518, C.E.P.R. Discussion Papers.
  50. Jochmann, Markus & Koop, Gary & Strachan, Rodney W., 2010. "Bayesian forecasting using stochastic search variable selection in a VAR subject to breaks," International Journal of Forecasting, Elsevier, Elsevier, vol. 26(2), pages 326-347, April.
  51. Ball, Clifford A. & Torous, Walter N., 2000. "Stochastic correlation across international stock markets," Journal of Empirical Finance, Elsevier, Elsevier, vol. 7(3-4), pages 373-388, November.
  52. Huseyin Gulen & Yuhang Xing & Lu Zhang, 2011. "Value versus Growth: Time‐Varying Expected Stock Returns," Financial Management, Financial Management Association International, Financial Management Association International, vol. 40(2), pages 381-407, 06.
  53. Lubos Pastor & Robert F. Stambaugh, . "The Equity Premium and Structural Breaks," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 11-00, Wharton School Rodney L. White Center for Financial Research.
  54. James D. Hamilton, 2005. "What's real about the business cycle?," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 435-452.
  55. Elliott, Graham & Timmermann, Allan G, 2007. "Economic Forecasting," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6158, C.E.P.R. Discussion Papers.
  56. Longstaff, Francis A., 2000. "The term structure of very short-term rates: New evidence for the expectations hypothesis," Journal of Financial Economics, Elsevier, Elsevier, vol. 58(3), pages 397-415, December.
  57. Lucio Sarno & Giorgio Valente & Mark E. Wohar, 2004. "Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes," Economic Inquiry, Western Economic Association International, Western Economic Association International, vol. 42(2), pages 179-193, April.
  58. Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco & van Dijk, Herman K., 2012. "Combination schemes for turning point predictions," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 52(4), pages 402-412.
  59. Ang, Andrew & Bekaert, Geert, 2002. "Short rate nonlinearities and regime switches," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 26(7-8), pages 1243-1274, July.
  60. Yong Song, 2012. "Modelling Regime Switching and Structural Breaks with an Infinite Hidden Markov Model," Working Paper Series, The Rimini Centre for Economic Analysis 28_12, The Rimini Centre for Economic Analysis.
  61. Yang, Lu & Hamori, Shigeyuki, 2014. "Spillover effect of US monetary policy to ASEAN stock markets: Evidence from Indonesia, Singapore, and Thailand," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 26(C), pages 145-155.
  62. Das, Sanjiv R., 2002. "The surprise element: jumps in interest rates," Journal of Econometrics, Elsevier, Elsevier, vol. 106(1), pages 27-65, January.
  63. Tak-Kuen Siu & Wai-Ki Ching & Eric Fung & Michael Ng, 2007. "Extracting Information from Spot Interest Rates and Credit Ratings using Double Higher-Order Hidden Markov Models," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 29(3), pages 425-425, May.
  64. Karamé, F., 2010. "Impulse-response functions in Markov-switching structural vector autoregressions: A step further," Economics Letters, Elsevier, Elsevier, vol. 106(3), pages 162-165, March.
  65. Geert Bekaert & Robert J. Hodrick & David A. Marshall, 1997. ""Peso Problem" Explanations for Term Structure Anomalies," NBER Working Papers 6147, National Bureau of Economic Research, Inc.
  66. Ying Chen & Linlin Niu, 2013. "Adaptive Dynamic Nelson-Siegel Term Structure Model with Applications," Papers 2013-10-14, Working Paper.
  67. Stavros Degiannakis & Andreas Andrikopoulos & Timotheos Angelidis & Christos Floros, 2013. "Return dispersion, stock market liquidity and aggregate economic activity," Working Papers, Bank of Greece 166, Bank of Greece.
  68. Sean D. Campbell, 2002. "Specification Testing and Semiparametric Estimation of Regime Switching Models: An Examination of the US Short Term Interest Rate," Working Papers 2002-26, Brown University, Department of Economics.
  69. Tillmann, Peter, 2005. "Private sector involvement in the resolution of financial crises: How do markets react?," Journal of Development Economics, Elsevier, Elsevier, vol. 78(1), pages 114-132, October.
  70. Girardin, Eric & Liu, Zhenya, 2007. "The financial integration of China: New evidence on temporally aggregated data for the A-share market," China Economic Review, Elsevier, Elsevier, vol. 18(3), pages 354-371.
  71. Ang, Andrew & Gu, Li & Hochberg, Yael V., 2007. "Is Ipo Underperformance a Peso Problem?," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 42(03), pages 565-594, September.
  72. Christiansen, Charlotte, 2002. "Regime Switching in the Yield Curve," Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies 02-13, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  73. Mirko Abbritti & Luis Gil-Alana & Yuliya Lovcha & Antonio Moreno, 2012. "Term Structure Persistence," Faculty Working Papers, School of Economics and Business Administration, University of Navarra 26/12, School of Economics and Business Administration, University of Navarra.
  74. Yongmiao Hong & Hai Lin & Shouyang Wang, 2013. "Modeling the Dynamics of Chinese Spot Interest Rates," Papers 2013-10-14, Working Paper.
  75. Alessandro Calza & Andrea Zaghini, 2008. "Nonlinearities in the dynamics of the euro area demand for M1," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 690, Bank of Italy, Economic Research and International Relations Area.
  76. Czinkota, Thomas, 2012. "Das Halteproblem bei Strukturbrüchen in Finanzmarktzeitreihen
    [The Halting Problem applied to Structural Breaks in Financial Time Series]
    ," MPRA Paper 37072, University Library of Munich, Germany.
  77. Stéphane Goutte & Benteng Zou, 2012. "Continuous time regime switching model applied to foreign exchange rate," Working Papers hal-00643900, HAL.
  78. Gary Koop & Simon M. Potter, 2004. "Prior Elicitation in Multiple Change-point Models," Discussion Papers in Economics 04/26, Department of Economics, University of Leicester.
  79. Andrew Ang & Monika Piazzesi & Min Wei, 2004. "What Does the Yield Curve Tell us about GDP Growth?," NBER Working Papers 10672, National Bureau of Economic Research, Inc.
  80. Pettenuzzo, Davide & Timmermann, Allan, 2011. "Predictability of stock returns and asset allocation under structural breaks," Journal of Econometrics, Elsevier, Elsevier, vol. 164(1), pages 60-78, September.
  81. Ahrens, Ralf, 1999. "Predicting recessions with interest rate spreads: A multicountry regime-switching analysis," CFS Working Paper Series 1999/15, Center for Financial Studies (CFS).
  82. Esben Hoeg & Per Frederiksen, 2006. "The Fractional OU Process: Term Structure Theory and Application," Computing in Economics and Finance 2006, Society for Computational Economics 194, Society for Computational Economics.
  83. Høg, Esben & Frederiksen, Per & Schiemert, Daniel, 2008. "On the Generalized Brownian Motion and its Applications in Finance," Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies F-2008-07, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  84. José Luis Fernández Serrano & Mª Dolores Robles Fernández, 2002. "Política Monetaria y Cambios de Régimen en los tipos de Interés del Mercado Interbancario," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico 0209, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  85. Gourieroux, Christian & Sufana, Razvan, 2011. "Discrete time Wishart term structure models," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 35(6), pages 815-824, June.
  86. Immanuel Seidl, 2012. "Markowitz versus Regime Switching: An Empirical Approach," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 4(1), pages 033-043, June.
  87. Francesco Audrino & Kameliya Filipova, 2009. "Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach," University of St. Gallen Department of Economics working paper series 2009, Department of Economics, University of St. Gallen 2009-10, Department of Economics, University of St. Gallen.
  88. Cameron Hepburn & Phoebe Koundouri & Ekaterini Panopoulou & Theologos Pantelidis, 2006. "Social Discounting Under Uncertainty: A cross-country comparison," The Institute for International Integration Studies Discussion Paper Series, IIIS iiisdp177, IIIS.
  89. Neil Dias Karunaratne & Ramprasad Bhar, 2010. "Regime-Shifts & Post-Float Inflation Dynamics In Australia," Discussion Papers Series 405, School of Economics, University of Queensland, Australia.
  90. Bulkley, George & Giordani, Paolo, 2011. "Structural breaks, parameter uncertainty, and term structure puzzles," Journal of Financial Economics, Elsevier, Elsevier, vol. 102(1), pages 222-232, October.
  91. Chen, Shyh-Wei, 2013. "Long memory and regime switching properties of current account deficits in the US," Economic Modelling, Elsevier, Elsevier, vol. 35(C), pages 78-87.
  92. José Luis Fernández-Serrano & M. Dolores Robles Fernández, 2004. "Política monetaria y cambios de régimen en los tipos de interés del mercado interbancario español," Investigaciones Economicas, Fundación SEPI, Fundación SEPI, vol. 28(2), pages 349-376, May.
  93. 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.
  94. Guillaume Guerrero & Nicolas Million, 2004. "The US Phillips Curve and inflation expectations: A State Space Markov-Switching explanatory model," Computing in Economics and Finance 2004, Society for Computational Economics 133, Society for Computational Economics.
  95. Sadayuki Ono, 2007. "Term Structure Dynamics in a Monetary Economy with Learning," Discussion Papers, Department of Economics, University of York 07/29, Department of Economics, University of York.
  96. ZHU Xiaoneng & Shahidur RAHMAN, 2009. "A Regime Switching Macro-finance Model of the Term Structure," Economic Growth centre Working Paper Series, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre 0901, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre.
  97. Beckmann, Joscha & Czudaj, Robert, 2013. "Is there a homogeneous causality pattern between oil prices and currencies of oil importers and exporters?," Energy Economics, Elsevier, Elsevier, vol. 40(C), pages 665-678.
  98. He, Hui & Yang, Jiawen, 2011. "Regime-switching analysis of ADR home market pass-through," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(1), pages 204-214, January.
  99. Alain Monfort & Fulvio Pegoraro, 2007. "Switching VARMA Term Structure Models - Extended Version," Working Papers, Centre de Recherche en Economie et Statistique 2007-19, Centre de Recherche en Economie et Statistique.
  100. Chambers, Robert G. & Tzouvelekas, Vangelis, 2013. "Estimating population dynamics without population data," Journal of Environmental Economics and Management, Elsevier, vol. 66(3), pages 510-522.
  101. Matteo Manera & Alessandro Cologni, 2006. "The Asymmetric Effects of Oil Shocks on Output Growth: A Markov-Switching Analysis for the G-7 Countries," Working Papers, Fondazione Eni Enrico Mattei 2006.29, Fondazione Eni Enrico Mattei.
  102. Peter Tillmann, 2004. "Cointegration and Regime-Switching Risk Premia in the US Term Structure of Interest Rates," Econometric Society 2004 North American Summer Meetings, Econometric Society 26, Econometric Society.
  103. Goutte, Stéphane, 2014. "Conditional Markov regime switching model applied to economic modelling," Economic Modelling, Elsevier, Elsevier, vol. 38(C), pages 258-269.
  104. Kuang-Liang Chang & Chi-Wei He, 2010. "Does The Magnitude Of The Effect Of Inflation Uncertainty On Output Growth Depend On The Level Of Inflation?," Manchester School, University of Manchester, vol. 78(2), pages 126-148, 03.
  105. Pesaran, M. Hashem & Pettenuzzo, Davide & Timmermann, Allan, 2004. "Forecasting Time Series Subject to Multiple Structural Breaks," IZA Discussion Papers 1196, Institute for the Study of Labor (IZA).
  106. Fabra, Natalia & Toro, Juan, 2005. "Price wars and collusion in the Spanish electricity market," International Journal of Industrial Organization, Elsevier, Elsevier, vol. 23(3-4), pages 155-181, April.
  107. Lorán Chollete & Andréas Heinen & Alfonso Valdesogo, 2009. "Modeling International Financial Returns with a Multivariate Regime-switching Copula," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 7(4), pages 437-480, Fall.
  108. Qiang Dai & Kenneth J. Singleton & Wei Yang, 2004. "Regime shifts in a dynamic term structure model of U.S. Treasury bond yields," Proceedings, Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco, issue Mar.
  109. Eric Girardin, 2004. "Regime-dependent synchronization of growth cycles between Japan and East Asia," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group 66, Money Macro and Finance Research Group.
  110. Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla I. & Masih, A. Mansur M., 2014. "The Role of Islamic Asset Classes in the Diversified Portfolios: Mean Variance Spanning Test," MPRA Paper 56857, University Library of Munich, Germany.
  111. Ball, Clifford A. & Torous, Walter N., 2000. "Stochastic Correlation Across International Stock Markets," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt6vn9q79w, Anderson Graduate School of Management, UCLA.
  112. Clarida, Richard & Sarno, Lucio & Taylor, Mark P & Valente, Giorgio, 2005. "The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4835, C.E.P.R. Discussion Papers.
  113. Chevallier, Julien, 2012. "Global imbalances, cross-market linkages, and the financial crisis: A multivariate Markov-switching analysis," Economic Modelling, Elsevier, Elsevier, vol. 29(3), pages 943-973.
  114. Agostino Capponi & Jose Figueroa-Lopez & Jeffrey Nisen, 2011. "Pricing and Semimartingale Representations of Vulnerable Contingent Claims in Regime-Switching Markets," Papers 1110.0403, arXiv.org, revised Feb 2012.
  115. Marcel Aloy & Gilles de Truchis & Gilles Dufrénot & Benjamin Keddad, 2014. "Shift-Volatility Transmission in East Asian Equity Markets," AMSE Working Papers 1402, Aix-Marseille School of Economics, Marseille, France, revised Mar 2014.
  116. Colavecchio , Roberta & Funke, Michael, 2007. "Volatility dependence across Asia-Pacific on-shore and off-shore U.S. dollar futures markets," BOFIT Discussion Papers, Bank of Finland, Institute for Economies in Transition 17/2007, Bank of Finland, Institute for Economies in Transition.
  117. Chevallier, Julien, 2013. "Price relationships in crude oil futures: new evidence from CFTC disaggregated data," Economics Papers from University Paris Dauphine 123456789/11712, Paris Dauphine University.
  118. Acharya, Viral V. & Amihud, Yakov & Bharath, Sreedhar T., 2013. "Liquidity risk of corporate bond returns: conditional approach," Journal of Financial Economics, Elsevier, Elsevier, vol. 110(2), pages 358-386.
  119. Joao Liborio, 2005. "Dynamic bond portfolio choice in a model with Gaussian diffusion regimes," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 11(3), pages 259-270.
  120. Jesús Vázquez, 2009. "Does the term spread play a role in the fed funds rate reaction function? An empirical investigation," Empirical Economics, Springer, Springer, vol. 36(1), pages 175-199, February.
  121. 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.
  122. Nelson C. Mark & Young-Kyu Moh, 2005. "The real exchange rate and real interest differentials: the role of nonlinearities," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 10(4), pages 323-335.
  123. Philip Kostov & John Lingard, 2004. "Regime-switching Vector Error Correction Model (VECM) analysis of UK meat consumption," Econometrics, EconWPA 0409007, EconWPA.
  124. Arielle Beyaert & Juan Jose Perez-Castejon, 2009. "Markov-switching models, rational expectations and the term structure of interest rates," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 41(3), pages 399-412.
  125. PeterTillmann, 2004. "Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates," Computing in Economics and Finance 2004, Society for Computational Economics 53, Society for Computational Economics.
  126. Massimo Guidolin & Allan Timmerman, 2006. "Asset allocation under multivariate regime switching," Working Papers, Federal Reserve Bank of St. Louis 2005-002, Federal Reserve Bank of St. Louis.
  127. Sarno, Lucio & Valente, Giorgio, 2006. "Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 30(11), pages 3147-3169, November.
  128. Christiansen, Charlotte, 2005. "Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates," Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies F-2005-03, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  129. Chen, Shyh-Wei & Lin, Shih-Mo, 2014. "Non-linear dynamics in international resource markets: Evidence from regime switching approach," Research in International Business and Finance, Elsevier, Elsevier, vol. 30(C), pages 233-247.
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