The Number of Regimes Across Asset Returns: Identification and Economic Value
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- Mathieu Gatumel & Florian Ielpo, 2014. "The Number Of Regimes Across Asset Returns: Identification And Economic Value," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(06), pages 1-25.
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Citations
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Cited by:
- Donatien Hainaut & Yang Shen & Yan Zeng, 2018. "How do capital structure and economic regime affect fair prices of bank’s equity and liabilities?," Annals of Operations Research, Springer, vol. 262(2), pages 519-545, March.
- Donatien Hainaut & Yan Shen & Yan Zeng, 2016. "How do capital structure and economic regime affect fair prices of bank's equity and liabilities?," Post-Print hal-01394133, HAL.
- Collet, Jerome & Ielpo, Florian, 2018. "Sector spillovers in credit markets," Journal of Banking & Finance, Elsevier, vol. 94(C), pages 267-278.
- Hainaut, Donatien & Goutte, Stephane, 2018.
"A switching microstructure model for stock prices,"
LIDAM Discussion Papers ISBA
2018014, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Hainaut, Donatien & Goutte, Stephane, 2019. "A switching microstructure model for stock prices," LIDAM Reprints ISBA 2019024, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Julien Chevallier & Mathieu Gatumel & Florian Ielpo, 2013.
"Understanding momentum in commodity markets,"
Applied Economics Letters, Taylor & Francis Journals, vol. 20(15), pages 1383-1402, October.
- Mathieu Gatumel & Florian Ielpo, 2013. "Understanding momentum in commodity markets," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00947001, HAL.
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Keywords
Bull and bear markets; Markov switching models; Number of regimes; Density based tests;Statistics
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