The multi-chain Markov switching model
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DOI: 10.1002/for.965
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Citations
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Cited by:
- Balcilar, Mehmet & Kutan, Ali M. & Yaya, Mehmet E., 2017. "Financial integration in small Islands: The case of Cyprus," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 201-219.
- Gbaguidi DAVID, 2011.
"Expectations Impact On The Effectiveness Of The Inflation-Real Activity Trade-Off,"
Theoretical and Practical Research in the Economic Fields, ASERS Publishing, vol. 2(2), pages 141-181.
- Gbaguidi, David Sedo, 2011. "Expectations Impact on the Effectiveness of the Inflation-Real Activity Trade-Off," MPRA Paper 35482, University Library of Munich, Germany.
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- Otranto, Edoardo & Calzolari, Giorgio & Di Iorio, Francesca, 2005. "Indirect estimation of Markov switching models with endogenous switching," MPRA Paper 22983, University Library of Munich, Germany, revised 2005.
- Gallo, Giampiero M. & Otranto, Edoardo, 2008.
"Volatility spillovers, interdependence and comovements: A Markov Switching approach,"
Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3011-3026, February.
- Giampiero Gallo & Edoardo Otranto, 2007. "Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach," Econometrics Working Papers Archive wp2007_11, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- BAUWENS, Luc & otranto, EDOARDO, 2013.
"Modeling the dependence of conditional correlations on volatility,"
LIDAM Discussion Papers CORE
2013014, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- L. Bauwens & E. Otranto, 2013. "Modeling the Dependence of Conditional Correlations on Volatility," Working Paper CRENoS 201304, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- Giampiero Gallo & Edoardo Otranto, 2006. "Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model," Econometrics Working Papers Archive wp2006_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Balcilar, Mehmet & Kutan, Ali M. & Yaya, Mehmet E., 2017. "Testing the dependency theory on small island economies: The case of Cyprus," Economic Modelling, Elsevier, vol. 61(C), pages 1-11.
- Verny, Jérôme & Gbaguidi, David Sedo, 2014. "Performance measure of a port-valley system: Data availability and their limits in freight transport and logistics," MPRA Paper 55480, University Library of Munich, Germany.
- Khalifa, Ahmed A.A. & Hammoudeh, Shawkat & Otranto, Edoardo, 2014. "Extracting portfolio management strategies from volatility transmission models in regime-changing environments: Evidence from GCC and global markets," Economic Modelling, Elsevier, vol. 41(C), pages 365-374.
- Chang, Kuang-Liang, 2022. "Do economic policy uncertainty indices matter in joint volatility cycles between U.S. and Japanese stock markets?," Finance Research Letters, Elsevier, vol. 47(PA).
- Yong Song & Tomasz Wo'zniak, 2020. "Markov Switching," Papers 2002.03598, arXiv.org.
- M. Bigeco & E. Grosso & E. Otranto, 2008. "Recognizing and Forecasting the Sign of Financial Local Trends using Hidden Markov Models," Working Paper CRENoS 200803, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- Ovielt Baltodano L'opez & Roberto Casarin, 2022. "A Dynamic Stochastic Block Model for Multi-Layer Networks," Papers 2209.09354, arXiv.org.
- Khalifa, Ahmed A. & Alsarhan, Abdulwahab A. & Bertuccelli, Pietro, 2017. "Causes and consequences of energy price shocks on petroleum-based stock market using the spillover asymmetric multiplicative error model," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 307-314.
- E. Otranto, 2012. "Spillover Effects in the Volatility of Financial Markets," Working Paper CRENoS 201217, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- Gbaguidi, David Sedo, 2011. "Regime Switching in a New Keynesian Phillips Curve with Non-zero Steady-state Inflation Rate," MPRA Paper 35481, University Library of Munich, Germany.
- Jing-Tung WU, 2016. "The Markov-switching Granger Causality of Asia-Pacific Exchange Rates," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 94-115, September.
- Marcel Aloy & Gilles de Truchis & Gilles Dufrénot & Benjamin Keddad, 2013.
"Shift-Volatility Transmission in East Asian Equity Markets,"
Working Papers
halshs-00935364, HAL.
- 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, France, revised Mar 2014.
- Chang, Kuang-Liang & Lee, Chingnun, 2020. "The asymmetric spillover effect of the Markov switching mechanism from the futures market to the spot market," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 374-388.
- Lee, Chien-Chiang & Lee, Hsiang-Tai, 2023. "Optimal portfolio diversification with a multi-chain regime-switching spillover GARCH model," Global Finance Journal, Elsevier, vol. 55(C).
- Khalifa, Ahmed A.A. & Hammoudeh, Shawkat & Otranto, Edoardo, 2014. "Patterns of volatility transmissions within regime switching across GCC and global markets," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 512-524.
- A. Khalifa & S. Hammoudeh & E. Otranto & S. Ramchander, 2012. "Volatility Transmission across Currency, Commodity and Equity Markets under Multi-Chain Regime Switching: Implications for Hedging and Portfolio Allocation," Working Paper CRENoS 201214, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- Khalifa, Ahmed A.A. & Otranto, Edoardo & Hammoudeh, Shawkat & Ramchander, Sanjay, 2016. "Volatility transmission across currencies and commodities with US uncertainty measures," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 63-83.
- Lai, Jing-yi, 2012. "Shock-dependent conditional skewness in international aggregate stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 72-83.
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