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Jedrzej Pawel Bialkowski

Personal Details

First Name:Jedrzej
Middle Name:Pawel
Last Name:Bialkowski
Suffix:
RePEc Short-ID:pbi149
[This author has chosen not to make the email address public]

Affiliation

Department of Economics and Finance
College of Business and Economics
University of Canterbury

Christchurch, New Zealand
http://www.econ.canterbury.ac.nz/

: +64-3-3642631
+64-3-3642635
Private Bag 4800, Christchurch
RePEc:edi:decannz (more details at EDIRC)

Research output

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Jump to: Working papers Articles

Working papers

  1. Bialkowski, Jedrzej & Gottschalk, Katrin & Wisniewski, Tomasz, 2006. "Stock market volatiltity around national elections," MPRA Paper 302, University Library of Munich, Germany, revised Nov 2006.
  2. Bialkowski, Jedrzej & Gottschalk, Katrin & Wisniewski, Tomasz, 2006. "Political orientation of government and stock market returns," MPRA Paper 307, University Library of Munich, Germany, revised Nov 2006.
  3. Jedrzej Bialkowski & Serge Darolles & Gaëlle Le Fol, 2005. "Decomposing Volume for VWAP Strategies," Working Papers 2005-16, Center for Research in Economics and Statistics.

Articles

  1. Bialkowski, Jedrzej & Darolles, Serge & Le Fol, Gaëlle, 2008. "Improving VWAP strategies: A dynamic volume approach," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1709-1722, September.
  2. Bialkowski, Jedrzej & Gottschalk, Katrin & Wisniewski, Tomasz Piotr, 2008. "Stock market volatility around national elections," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1941-1953, September.
  3. Bialkowski, Jedrzej & Jakubowski, Jacek, 2008. "Stock index futures arbitrage in emerging markets: Polish evidence," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 363-381.
  4. Jedrzej Bialkowski & Katrin Gottschalk & Tomasz Piotr Wisniewski, 2007. "Political orientation of government and stock market returns," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 3(4), pages 269-273.
  5. Bialkowski, Jedrzej & Bohl, Martin T. & Serwa, Dobromil, 2006. "Testing for financial spillovers in calm and turbulent periods," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(3), pages 397-412, July.
  6. Jedrzej Bialkowski, 2004. "Modelling Returns on Stock Indices for Western and Central European Stock Exchanges - a Markov Switching Approach," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 2(2), pages 81-100.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Bialkowski, Jedrzej & Gottschalk, Katrin & Wisniewski, Tomasz, 2006. "Stock market volatiltity around national elections," MPRA Paper 302, University Library of Munich, Germany, revised Nov 2006.

    Cited by:

    1. Charles, Amélie & Darné, Olivier, 2014. "Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 188-199.
    2. Essaddam, Naceur & Karagianis, John M., 2014. "Terrorism, country attributes, and the volatility of stock returns," Research in International Business and Finance, Elsevier, vol. 31(C), pages 87-100.
    3. Syed Hassan & Sarosh Shabi & Taufiq Choudhry, 2018. "Asymmetry, Uncertainty and International Trade," Working Papers 2018-24, Swansea University, School of Management.
    4. Hartwell, Christopher A., 2014. "The impact of institutional volatility on financial volatility in transition economies : a GARCH family approach," BOFIT Discussion Papers 6/2014, Bank of Finland, Institute for Economies in Transition.
    5. Gungoraydinoglu, Ali & Çolak, Gönül & Öztekin, Özde, 2017. "Political environment, financial intermediation costs, and financing patterns," Journal of Corporate Finance, Elsevier, vol. 44(C), pages 167-192.
    6. Lee, Chien-Chiang & Lee, Chi-Chuan & Zeng, Jhih-Hong & Hsu, Yu-Ling, 2017. "Peer bank behavior, economic policy uncertainty, and leverage decision of financial institutions," Journal of Financial Stability, Elsevier, vol. 30(C), pages 79-91.
    7. Roman Kozhan, 2006. "Multiple Priors and No-Transaction Region," Working Papers wpn06-16, Warwick Business School, Finance Group.
    8. Christos Kollias & Stephanos Papadamou, 2012. "Rogue State Behavior and Markets: The Financial Fallout of North Korean Nuclear Tests," Economics of Security Working Paper Series 67, DIW Berlin, German Institute for Economic Research.
    9. Tammuz Alraheb & Amine Tarazi, 2017. "Local Versus International Crises, Foreign Subsidiaries and Bank Stability: Evidence from the MENA Region," Post-Print hal-01558246, HAL.
    10. Jens, Candace E., 2017. "Political uncertainty and investment: Causal evidence from U.S. gubernatorial elections," Journal of Financial Economics, Elsevier, vol. 124(3), pages 563-579.
    11. Bourdeau-Brien, Michael & Kryzanowski, Lawrence, 2017. "The impact of natural disasters on the stock returns and volatilities of local firms," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 259-270.
    12. Bryan T. Kelly & Lubos Pastor & Pietro Veronesi, 2014. "The Price of Political Uncertainty: Theory and Evidence from the Option Market," Working Papers 2014-001, Becker Friedman Institute for Research In Economics.
    13. Mnasri, Ayman & Nechi, Salem, 2016. "Impact of terrorist attacks on stock market volatility in emerging markets," Emerging Markets Review, Elsevier, vol. 28(C), pages 184-202.
    14. Krieger, Kevin & Mauck, Nathan & Vasquez, Joseph, 2014. "Comparing U.S. and European Market Volatility Responses to Interest Rate Policy Announcements," MPRA Paper 52959, University Library of Munich, Germany.
    15. Hasan AYAYDIN & Savaþ DURMUÞ, 2016. "Interest rate and Economic Growth as Determinants of Firm Investment Decision: An Investigation on BIST listed firms," Journal of Economics and Political Economy, KSP Journals, vol. 3(1), pages 160-169, March.
    16. Wisniewski, Tomasz Piotr & Lambe, Brendan John, 2015. "Does economic policy uncertainty drive CDS spreads?," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 447-458.
    17. Badunenko, Oleg & Fritsch, Michael & Stephan, Andreas, 2006. "Allocative efficiency measurement revisited: do we really need input prices?," Freiberg Working Papers 2006,04, TU Bergakademie Freiberg, Faculty of Economics and Business Administration.
    18. Julia Darby & Graeme Roy, 2017. "Political uncertainty and stock market volatility: new evidence from the 2014 Scottish Independence Referendum," Working Papers 1706, University of Strathclyde Business School, Department of Economics.
    19. Lee A. Smales, 2017. "“Brexit”: A Case Study in the Relationship Between Political and Financial Market Uncertainty," International Review of Finance, International Review of Finance Ltd., vol. 17(3), pages 451-459, September.
    20. Kollias, Christos & Kyrtsou, Catherine & Papadamou, Stephanos, 2013. "The effects of terrorism and war on the oil price–stock index relationship," Energy Economics, Elsevier, vol. 40(C), pages 743-752.
    21. Bialkowski, Jedrzej & Gottschalk, Katrin & Wisniewski, Tomasz Piotr, 2006. "Political Orientation of Government and Stock Market Returns," Working Paper Series 2006,9, European University Viadrina Frankfurt (Oder), The Postgraduate Research Programme Capital Markets and Finance in the Enlarged Europe.
    22. Sun, Changyou & Rahman, Mohammad M. & Munn, Ian A., 2013. "Adjustment of stock prices and volatility to changes in industrial timberland ownership," Forest Policy and Economics, Elsevier, vol. 26(C), pages 91-101.
    23. Smales, Lee A., 2015. "Better the devil you know: The influence of political incumbency on Australian financial market uncertainty," Research in International Business and Finance, Elsevier, vol. 33(C), pages 59-74.
    24. Wisniewski, Tomasz Piotr, 2016. "Is there a link between politics and stock returns? A literature survey," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 15-23.
    25. John Goodell & Richard Bodey, 2012. "Price-earnings changes during US presidential election cycles: voter uncertainty and other determinants," Public Choice, Springer, vol. 150(3), pages 633-650, March.
    26. Antonakakis, Nikolaos & Gupta, Rangan & Kollias, Christos & Papadamou, Stephanos, 2017. "Geopolitical risks and the oil-stock nexus over 1899–2016," Finance Research Letters, Elsevier, vol. 23(C), pages 165-173.
    27. MORIKAWA Masayuki, 2013. "What Type of Policy Uncertainty Matters for Business?," Discussion papers 13076, Research Institute of Economy, Trade and Industry (RIETI).
    28. Naoki Yasuda & Hitoshi Mitsuhashi, 2017. "Learning from Political Change and the Development of MNCs’ Political Capabilities: Evidence from the Global Mining Industry," Management International Review, Springer, vol. 57(5), pages 749-774, October.
    29. Goodell, John W. & Vähämaa, Sami, 2013. "US presidential elections and implied volatility: The role of political uncertainty," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 1108-1117.
    30. Tielmann, Artur & Schiereck, Dirk, 2017. "Arising borders and the value of logistic companies: Evidence from the Brexit referendum in Great Britain," Finance Research Letters, Elsevier, vol. 20(C), pages 22-28.
    31. Julio, Brandon & Yook, Youngsuk, 2016. "Policy uncertainty, irreversibility, and cross-border flows of capital," Journal of International Economics, Elsevier, vol. 103(C), pages 13-26.
    32. Civilize, Sireethorn & Wongchoti, Udomsak & Young, Martin, 2015. "Military regimes and stock market performance," Emerging Markets Review, Elsevier, vol. 22(C), pages 76-95.
    33. Yun Zhu, 2015. "Political uncertainty and non-pricing terms of financial contract," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 5(1), pages 77-109, June.
    34. Wisniewski, Tomasz P. & Pathan, Saima K., 2014. "Political environment and foreign direct investment: Evidence from OECD countries," European Journal of Political Economy, Elsevier, vol. 36(C), pages 13-23.
    35. Smales, Lee A., 2014. "Political uncertainty and financial market uncertainty in an Australian context," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 415-435.
    36. Masayuki Morikawa, 2016. "What Types of Policy Uncertainties Matter for Business?," Pacific Economic Review, Wiley Blackwell, vol. 21(5), pages 527-540, December.
    37. Lehkonen, Heikki & Heimonen, Kari, 2015. "Democracy, political risks and stock market performance," Journal of International Money and Finance, Elsevier, vol. 59(C), pages 77-99.
    38. K. Arin & Alexander Molchanov & Otto Reich, 2013. "Politics, stock markets, and model uncertainty," Empirical Economics, Springer, vol. 45(1), pages 23-38, August.
    39. Choudhry, Taufiq, 2010. "World War II events and the Dow Jones industrial index," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1022-1031, May.
    40. Liu, Jinyu & Zhong, Rui, 2017. "Political uncertainty and a firm's credit risk: Evidence from the international CDS market," Journal of Financial Stability, Elsevier, vol. 30(C), pages 53-66.
    41. Goodell, John W. & McGroarty, Frank & Urquhart, Andrew, 2015. "Political uncertainty and the 2012 US presidential election: A cointegration study of prediction markets, polls and a stand-out expert," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 162-171.
    42. Ahmed, Walid M.A., 2017. "The impact of foreign equity flows on market volatility during politically tranquil and turbulent times: The Egyptian experience," Research in International Business and Finance, Elsevier, vol. 40(C), pages 61-77.
    43. Lau, Chi Keung Marco & Demir, Ender & Bilgin, Mehmet Huseyin, 2013. "Experience-based corporate corruption and stock market volatility: Evidence from emerging markets," Emerging Markets Review, Elsevier, vol. 17(C), pages 1-13.
    44. Galema, Rients & Plantinga, Auke & Scholtens, Bert, 2008. "The stocks at stake: Return and risk in socially responsible investment," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2646-2654, December.

  2. Bialkowski, Jedrzej & Gottschalk, Katrin & Wisniewski, Tomasz, 2006. "Political orientation of government and stock market returns," MPRA Paper 307, University Library of Munich, Germany, revised Nov 2006.

    Cited by:

    1. David Le Bris, 2012. "Stock Returns, Governments and Market Foresight in France, 1871-2008," Working Papers CEB 12-007, ULB -- Universite Libre de Bruxelles.
    2. Tomasz Wisniewski & Geoffrey Lightfoot & Simon Lilley, 2012. "Speculating on presidential success: exploring the link between the price–earnings ratio and approval ratings," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(1), pages 106-122, January.
    3. Wisniewski, Tomasz Piotr & Lambe, Brendan John, 2015. "Does economic policy uncertainty drive CDS spreads?," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 447-458.
    4. Wisniewski, Tomasz Piotr, 2016. "Is there a link between politics and stock returns? A literature survey," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 15-23.
    5. Civilize, Sireethorn & Wongchoti, Udomsak & Young, Martin, 2015. "Military regimes and stock market performance," Emerging Markets Review, Elsevier, vol. 22(C), pages 76-95.
    6. K. Arin & Alexander Molchanov & Otto Reich, 2013. "Politics, stock markets, and model uncertainty," Empirical Economics, Springer, vol. 45(1), pages 23-38, August.
    7. Gabriel Rodríguez & Alfredo Vargas, 2012. "Impacto de expectativas políticas en los retornos del Índice General de la Bolsa de Valores de Lima," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, vol. 35(70), pages 190-223.

Articles

  1. Bialkowski, Jedrzej & Darolles, Serge & Le Fol, Gaëlle, 2008. "Improving VWAP strategies: A dynamic volume approach," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1709-1722, September.

    Cited by:

    1. Serge Darolles & Gaëlle Le Fol, 2014. "Trading Volume and Arbitrage," Post-Print hal-01632848, HAL.
    2. Ferriani, Fabrizio, 2010. "Informed and uninformed traders at work: evidence from the French market," MPRA Paper 24487, University Library of Munich, Germany.
    3. Alexander Malinowski & Martin Schlather & Zhengjun Zhang, 2016. "Intrinsically weighted means and non-ergodic marked point processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 68(1), pages 1-24, February.
    4. Szűcs, Balázs Árpád, 2017. "Forecasting intraday volume: Comparison of two early models," Finance Research Letters, Elsevier, vol. 21(C), pages 249-258.
    5. Dutt, Tanuj & Humphery-Jenner, Mark, 2013. "Stock return volatility, operating performance and stock returns: International evidence on drivers of the ‘low volatility’ anomaly," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 999-1017.
    6. Enzo Busseti & Stephen Boyd, 2015. "Volume Weighted Average Price Optimal Execution," Papers 1509.08503, arXiv.org.
    7. Alexander Buryak & Ivan Guo, 2014. "Effective and simple VWAP option pricing model," Papers 1407.7315, arXiv.org.
    8. Humphery-Jenner, Mark L., 2011. "Optimal VWAP trading under noisy conditions," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2319-2329, September.
    9. Serge Darolles & Gaëlle Le Fol & Gulten Mero, 2015. "Measuring the Liquidity Part of Volume," Post-Print hal-01632766, HAL.
    10. Gulten Mero & Serge Darolles & Gaëlle Le Fol, 2015. "Financial Market Liquidity: Who Is Acting Strategically?," THEMA Working Papers 2015-14, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    11. Francesco Calvori & Fabrizio Cipollini & Giampiero M. Gallo, 2014. "Go with the Flow: A GAS model for Predicting Intra-daily Volume Shares," Econometrics Working Papers Archive 2014_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Feb 2014.
    12. Darolles, Serge & Le Fol, Gaëlle & Mero, Gulten, 2017. "Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows," Journal of Econometrics, Elsevier, vol. 201(2), pages 367-383.
    13. Alexander Malinowski & Martin Schlather & Zhengjun Zhang, 2016. "Intrinsically weighted means and non-ergodic marked point processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 68(1), pages 1-24, February.
    14. Jedrzej Bialkowski & Serge Darolles & Gaëlle Le Fol, 2012. "Reducing the risk of VWAP orders execution - A new approach to modeling intra-day volume," Post-Print hal-01632822, HAL.
    15. Olivier Gu'eant & Guillaume Royer, 2013. "VWAP execution and guaranteed VWAP," Papers 1306.2832, arXiv.org, revised May 2014.
    16. Ye, Xunyu & Gao, Ping & Li, Handong, 2015. "Improving estimation of the fractionally differencing parameter in the SARFIMA model using tapered periodogram," Economic Modelling, Elsevier, vol. 46(C), pages 167-179.
    17. Alexandru Mandes, 2016. "Algorithmic and High-Frequency Trading Strategies: A Literature Review," MAGKS Papers on Economics 201625, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    18. Serge Darolles & Gaëlle Le Fol & Gulten Mero, 2010. "When Market Illiquidity Generates Volumes," Working Papers halshs-00536046, HAL.
    19. Ito, R., 2016. "Spline-DCS for Forecasting Trade Volume in High-Frequency Finance," Cambridge Working Papers in Economics 1606, Faculty of Economics, University of Cambridge.
    20. Humphery-Jenner, M., 2011. "High Frequency Trading, Information, and Takeovers," Discussion Paper 2011-047, Tilburg University, Center for Economic Research.
    21. Yang, Yaxing & Ling, Shiqing, 2017. "Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models," Journal of Econometrics, Elsevier, vol. 197(2), pages 368-381.
    22. Ye Xunyu & Yan Rui & Li Handong, 2014. "Forecasting trading volume in the Chinese stock market based on the dynamic VWAP," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(2), pages 1-20, April.
    23. Li, Yingying & Xie, Shangyu & Zheng, Xinghua, 2016. "Efficient estimation of integrated volatility incorporating trading information," Journal of Econometrics, Elsevier, vol. 195(1), pages 33-50.
    24. Fong, Kingsley Y.L. & Liu, Wai-Man, 2010. "Limit order revisions," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1873-1885, August.

  2. Bialkowski, Jedrzej & Gottschalk, Katrin & Wisniewski, Tomasz Piotr, 2008. "Stock market volatility around national elections," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1941-1953, September.
    See citations under working paper version above.
  3. Bialkowski, Jedrzej & Jakubowski, Jacek, 2008. "Stock index futures arbitrage in emerging markets: Polish evidence," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 363-381.

    Cited by:

    1. Nam, Seung Oh & Kim, Hyun Kyung & Kim, Byung Chun, 2010. "An alternative approach to evaluating the agreement between financial markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(1), pages 13-35, February.
    2. Frino, Alex & Lecce, Steven & Lepone, Andrew, 2011. "Short-sales constraints and market quality: Evidence from the 2008 short-sales bans," International Review of Financial Analysis, Elsevier, vol. 20(4), pages 225-236, August.
    3. Jędrzej Białkowski & Jacek Jakubowski, 2017. "Determinants of Trading Activity on the Single-Stock Futures Market: Evidence from the Eurex Exchange," Working Papers in Economics 17/16, University of Canterbury, Department of Economics and Finance.
    4. Edyta Marcinkiewicz, 2016. "Short Sale and Index Futures Mispricing: Evidence from the Warsaw Stock Exchange," Prague Economic Papers, University of Economics, Prague, vol. 2016(5), pages 547-559.

  4. Jedrzej Bialkowski & Katrin Gottschalk & Tomasz Piotr Wisniewski, 2007. "Political orientation of government and stock market returns," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 3(4), pages 269-273.
    See citations under working paper version above.
  5. Bialkowski, Jedrzej & Bohl, Martin T. & Serwa, Dobromil, 2006. "Testing for financial spillovers in calm and turbulent periods," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(3), pages 397-412, July.

    Cited by:

    1. Abu S. Amin & Lucjan T. Orlowski, 2014. "Returns, Volatilities, and Correlations Across Mature, Regional, and Frontier Markets: Evidence from South Asia," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 50(3), pages 5-27, May.
    2. Roman Kozhan, 2006. "Multiple Priors and No-Transaction Region," Working Papers wpn06-16, Warwick Business School, Finance Group.
    3. Dobromil Serwa, 2008. "Banking crises and nonlinear linkages between credit and output," Working Papers 30, Department of Applied Econometrics, Warsaw School of Economics.
    4. Boubaker, Sabri & Jouini, Jamel & Lahiani, Amine, 2016. "Financial contagion between the US and selected developed and emerging countries: The case of the subprime crisis," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 14-28.
    5. Lahrech, Abdelmounaim & Sylwester, Kevin, 2013. "The impact of NAFTA on North American stock market linkages," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 94-108.
    6. Badunenko, Oleg & Fritsch, Michael & Stephan, Andreas, 2006. "Allocative efficiency measurement revisited: do we really need input prices?," Freiberg Working Papers 2006,04, TU Bergakademie Freiberg, Faculty of Economics and Business Administration.
    7. Vigenina, Denitsa & Kritikos, Alexander S., 2005. "The individual micro-lending contract: Is it a better design than joint-liability? - Evidence from Georgia," Working Paper Series 2005,10, European University Viadrina Frankfurt (Oder), The Postgraduate Research Programme Capital Markets and Finance in the Enlarged Europe.
    8. Galin Todorov & Prasad Bidarkota, 2014. "Time-varying financial spillovers from the US to frontier markets," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 7(2), pages 246-283, September.
    9. Bialkowski, Jedrzej & Gottschalk, Katrin & Wisniewski, Tomasz Piotr, 2006. "Political Orientation of Government and Stock Market Returns," Working Paper Series 2006,9, European University Viadrina Frankfurt (Oder), The Postgraduate Research Programme Capital Markets and Finance in the Enlarged Europe.
    10. Singh, Manohar & Nejadmalayeri, Ali & Lucey, Brian, 2013. "Do U.S. macroeconomic surprises influence equity returns? An exploratory analysis of developed economies," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(4), pages 476-485.
    11. Faten Ben Slimane & Mohamed Mehanaoui & Irfan A. Kazi, 2014. "Interdependency and Spillover during the Financial Crisis of 2007 to 2009 – Evidence from High Frequency Intraday Data," Working Papers 2014-126, Department of Research, Ipag Business School.
    12. Michel Beine & Pierre-Yves Preumont & Ariane Szafarz, 2006. "Sector diversification during crises: a European perspective," DULBEA Working Papers 06-07.RS, ULB -- Universite Libre de Bruxelles.
    13. Jung, R.C. & Maderitsch, R., 2014. "Structural breaks in volatility spillovers between international financial markets: Contagion or mere interdependence?," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 331-342.

  6. Jedrzej Bialkowski, 2004. "Modelling Returns on Stock Indices for Western and Central European Stock Exchanges - a Markov Switching Approach," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 2(2), pages 81-100.

    Cited by:

    1. Bulla, Jan, 2009. "Hidden Markov models with t components. Increased persistence and other aspects," MPRA Paper 21830, University Library of Munich, Germany.
    2. 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.
    3. Moore, Tomoe & Wang, Ping, 2007. "Volatility in stock returns for new EU member states: Markov regime switching model," International Review of Financial Analysis, Elsevier, vol. 16(3), pages 282-292.
    4. Bulla, Jan & Bulla, Ingo, 2006. "Stylized facts of financial time series and hidden semi-Markov models," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2192-2209, December.
    5. Wasim Ahmad & N. Bhanumurthy & Sanjay Sehgal, 2015. "Regime dependent dynamics and European stock markets: Is asset allocation really possible?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(1), pages 77-107, February.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CDM: Collective Decision-Making (2) 2006-11-12 2006-11-12
  2. NEP-CFN: Corporate Finance (2) 2006-11-12 2006-11-12
  3. NEP-PBE: Public Economics (2) 2006-11-12 2006-11-12
  4. NEP-POL: Positive Political Economics (2) 2006-11-12 2006-11-12
  5. NEP-RMG: Risk Management (2) 2006-11-12 2006-11-12

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