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Regime Changes and Financial Markets

Citations

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Cited by:

  1. Timotheos Angelidis & Nikolaos Tessaromatis, 2014. "Global portfolio management under state dependent multiple risk premia," Proceedings of Economics and Finance Conferences 0400966, International Institute of Social and Economic Sciences.
  2. Frédéric Godiny & Van Son Lai & Denis-Alexandre Trottier, 2019. "Option Pricing Under Regime-Switching Models: Novel Approaches Removing Path-Dependence," Working Papers 2019-014, Department of Research, Ipag Business School.
  3. Matthijs Lof, 2015. "Rational Speculators, Contrarians, and Excess Volatility," Management Science, INFORMS, vol. 61(8), pages 1889-1901, August.
  4. Nicklas Werge, 2021. "Predicting Risk-adjusted Returns using an Asset Independent Regime-switching Model," Papers 2107.05535, arXiv.org.
  5. Zeng, Songlin & Bec, Frédérique, 2015. "Do stock returns rebound after bear markets? An empirical analysis from five OECD countries," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 50-61.
  6. 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.
  7. 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, vol. 26(C), pages 145-155.
  8. Nardo, M. & Ossola, E. & Papanagiotou, E., 2022. "Financial integration in the EU28 equity markets: Measures and drivers," Journal of Financial Markets, Elsevier, vol. 57(C).
  9. Shi, Yanlin & Feng, Lingbing, 2016. "A discussion on the innovation distribution of the Markov regime-switching GARCH model," Economic Modelling, Elsevier, vol. 53(C), pages 278-288.
  10. Veysel Karagol, 2023. "How Vulnerable is the Turkish Stock Market to the Credit Default Swap? Evidence from the Markov Switching GARCH Model," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul University, Faculty of Economics, vol. 73(73-1), pages 513-531, June.
  11. Antoine Lejay & Paolo Pigato, 2019. "A Threshold Model For Local Volatility: Evidence Of Leverage And Mean Reversion Effects On Historical Data," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(04), pages 1-24, June.
  12. Samet G nay, 2015. "Markov Regime Switching Generalized Autoregressive Conditional Heteroskedastic Model and Volatility Modeling for Oil Returns," International Journal of Energy Economics and Policy, Econjournals, vol. 5(4), pages 979-985.
  13. Haase, Felix & Neuenkirch, Matthias, 2023. "Predictability of bull and bear markets: A new look at forecasting stock market regimes (and returns) in the US," International Journal of Forecasting, Elsevier, vol. 39(2), pages 587-605.
  14. Bianchi, Francesco, 2020. "The Great Depression and the Great Recession: A view from financial markets," Journal of Monetary Economics, Elsevier, vol. 114(C), pages 240-261.
  15. Raphaël Douady & Yao Kuang, 2020. "Crisis Risk Prediction with Concavity from Polymodel," Working Papers hal-03018481, HAL.
  16. Guidolin, Massimo & Hyde, Stuart, 2012. "Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 695-716.
  17. Chatziantoniou, Ioannis & Filis, George & Floros, Christos, 2017. "Asset prices regime-switching and the role of inflation targeting monetary policy," Global Finance Journal, Elsevier, vol. 32(C), pages 97-112.
  18. Naeem, Muhammad & Tiwari, Aviral Kumar & Mubashra, Sana & Shahbaz, Muhammad, 2019. "Modeling volatility of precious metals markets by using regime-switching GARCH models," Resources Policy, Elsevier, vol. 64(C).
  19. Alain Monfort & Jean-Paul Renne, 2011. "Credit and Liquidity Risks in Euro-area Sovereign Yield Curves," Working Papers 2011-26, Center for Research in Economics and Statistics.
  20. Shaw, Charles, 2018. "Regime-Switching And Levy Jump Dynamics In Option-Adjusted Spreads," MPRA Paper 94154, University Library of Munich, Germany, revised 27 May 2019.
  21. João F. Caldeira & Rangan Gupta & Hudson S. Torrent, 2020. "Forecasting U.S. Aggregate Stock Market Excess Return: Do Functional Data Analysis Add Economic Value?," Mathematics, MDPI, vol. 8(11), pages 1-16, November.
  22. Francesco Chincoli & Massimo Guidolin, 2017. "Linear and nonlinear predictability in investment style factors: multivariate evidence," Journal of Asset Management, Palgrave Macmillan, vol. 18(6), pages 476-509, October.
  23. Milad Nozari, 2021. "Information content of the risk-free rate for the pricing kernel bound," Journal of Asset Management, Palgrave Macmillan, vol. 22(4), pages 267-276, July.
  24. Yarovaya, Larisa & Matkovskyy, Roman & Jalan, Akanksha, 2021. "The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
  25. Pincheira Brown, Pablo & Hardy, Nicolás, 2019. "Forecasting base metal prices with the Chilean exchange rate," Resources Policy, Elsevier, vol. 62(C), pages 256-281.
  26. Guidolin, Massimo & Pedio, Manuela, 2017. "Identifying and measuring the contagion channels at work in the European financial crises," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 117-134.
  27. Suthawan Prukumpai, 2015. "Time-varying Industrial Portfolio Betas under the Regime-switching Model: Evidence from the Stock Exchange of Thailand," Applied Economics Journal, Kasetsart University, Faculty of Economics, Center for Applied Economic Research, vol. 22(2), pages 54-76, December.
  28. Platanakis, Emmanouil & Sakkas, Athanasios & Sutcliffe, Charles, 2019. "Harmful diversification: Evidence from alternative investments," The British Accounting Review, Elsevier, vol. 51(1), pages 1-23.
  29. Hu, Shicheng & Zhang, Weijie & Li, Danping & Wu, Bing, 2023. "Incorporating improved directional change and regime change detection to formulate trading strategies in foreign exchange markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 622(C).
  30. Ayben Koy & G l Okay, 2020. "Are Carbon Leader Indexes Related with Carbon Prices under Different Regimes?," International Journal of Energy Economics and Policy, Econjournals, vol. 10(4), pages 115-121.
  31. Liu, Wei-han, 2018. "Hidden Markov model analysis of extreme behaviors of foreign exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 1007-1019.
  32. An, Sufang & An, Feng & Gao, Xiangyun & Wang, Anjian, 2023. "Early warning of critical transitions in crude oil price," Energy, Elsevier, vol. 280(C).
  33. Bianchi, Francesco, 2016. "Methods for measuring expectations and uncertainty in Markov-switching models," Journal of Econometrics, Elsevier, vol. 190(1), pages 79-99.
  34. Anastasios G. Malliaris & Mary Malliaris, 2021. "What Microeconomic Fundamentals Drove Global Oil Prices during 1986–2020?," JRFM, MDPI, vol. 14(8), pages 1-13, August.
  35. Zhou, Jian, 2016. "A high-frequency analysis of the interactions between REIT return and volatility," Economic Modelling, Elsevier, vol. 56(C), pages 102-108.
  36. Antoine Lejay & Paolo Pigato, 2017. "A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data," Working Papers hal-01669082, HAL.
  37. Christian Friedrich & Pierre Guérin, 2020. "The Dynamics of Capital Flow Episodes," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(5), pages 969-1003, August.
  38. Collin-Dufresne, Pierre & Daniel, Kent & Sağlam, Mehmet, 2020. "Liquidity regimes and optimal dynamic asset allocation," Journal of Financial Economics, Elsevier, vol. 136(2), pages 379-406.
  39. Massacci, Daniele, 2017. "Least squares estimation of large dimensional threshold factor models," Journal of Econometrics, Elsevier, vol. 197(1), pages 101-129.
  40. Trottier, Denis-Alexandre & Lai, Van Son & Godin, Frédéric, 2019. "A characterization of CAT bond performance indices," Finance Research Letters, Elsevier, vol. 28(C), pages 431-437.
  41. Aliyu, Shehu Usman Rano & Aminu, Abubakar Wambai, 2018. "Economic regimes and stock market performance in Nigeria: Evidence from regime switching model," MPRA Paper 91430, University Library of Munich, Germany, revised 03 Oct 2018.
  42. Guidolin, Massimo & Orlov, Alexei G. & Pedio, Manuela, 2017. "The impact of monetary policy on corporate bonds under regime shifts," Journal of Banking & Finance, Elsevier, vol. 80(C), pages 176-202.
  43. Chotipong Charoensom, 2024. "An Estimation of Regime Switching Models with Nonlinear Endogenous Switching," PIER Discussion Papers 217, Puey Ungphakorn Institute for Economic Research.
  44. Markus Vogl, 2022. "Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008–2019)," SN Business & Economics, Springer, vol. 2(12), pages 1-69, December.
  45. Peter Nystrup & Bo William Hansen & Henrik Madsen & Erik Lindström, 2016. "Detecting change points in VIX and S&P 500: A new approach to dynamic asset allocation," Journal of Asset Management, Palgrave Macmillan, vol. 17(5), pages 361-374, September.
  46. Mathieu Gatumel & Florian Ielpo, 2011. "The Number of Regimes Across Asset Returns: Identification and Economic Value," Post-Print halshs-00658540, HAL.
  47. Giovanna Bua & Carmine Trecroci, 2019. "International equity markets interdependence: bigger shocks or contagion in the 21st century?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 155(1), pages 43-69, February.
  48. Chan Joshua C.C. & Fry-McKibbin Renée A. & Hsiao Cody Yu-Ling, 2019. "A regime switching skew-normal model of contagion," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(1), pages 1-24, February.
  49. Yousefi, Hamed & Najand, Mohammad, 2022. "Geographical diversification using ETFs: Multinational evidence from COVID-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 83(C).
  50. Focardi, Sergio M. & Fabozzi, Frank J. & Mazza, Davide, 2019. "Modeling local trends with regime shifting models with time-varying probabilities," International Review of Financial Analysis, Elsevier, vol. 66(C).
  51. Zhao, Dongxu & Li, Kai, 2022. "Bounded rationality, adaptive behaviour, and asset prices," International Review of Financial Analysis, Elsevier, vol. 80(C).
  52. Ali Nasir & Ambreen Khursheed & Kazim Ali & Faisal Mustafa, 2021. "A Markov Decision Process Model for Optimal Trade of Options Using Statistical Data," Computational Economics, Springer;Society for Computational Economics, vol. 58(2), pages 327-346, August.
  53. Yanlin Shi, 2023. "Long memory and regime switching in the stochastic volatility modelling," Annals of Operations Research, Springer, vol. 320(2), pages 999-1020, January.
  54. Jonathan Tuck & Shane Barratt & Stephen Boyd, 2021. "Portfolio Construction Using Stratified Models," Papers 2101.04113, arXiv.org, revised Feb 2021.
  55. Hamilton, J.D., 2016. "Macroeconomic Regimes and Regime Shifts," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 163-201, Elsevier.
  56. Guidolin, Massimo & Pedio, Manuela, 2017. "Identifying and measuring the contagion channels at work in the European financial crises," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 117-134.
  57. Robert Dixon & Zhichao Zhang & Yang Dai, 2016. "Exchange Rate Flexibility in China: Measurement, Regime Shifts and Driving Forces of Change," Review of International Economics, Wiley Blackwell, vol. 24(5), pages 875-892, November.
  58. Giulia Dal Pra & Massimo Guidolin & Manuela Pedio & Fabiola Vasile, 2016. "Do Regimes in Excess Stock Return Predictability Create Economic Value? An Out-of-Sample Portfolio Analysis," BAFFI CAREFIN Working Papers 1637, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  59. Alexey Bosov & Andrey Borisov, 2022. "Comparative Study of Markov Chain Filtering Schemas for Stabilization of Stochastic Systems under Incomplete Information," Mathematics, MDPI, vol. 10(18), pages 1-20, September.
  60. Aliyu, Shehu Usman Rano, 2020. "What have we learnt from modelling stock returns in Nigeria: Higgledy-piggledy?," MPRA Paper 110382, University Library of Munich, Germany, revised 06 Jun 2021.
  61. Kasahara, Hiroyuki & Shimotsu, Katsumi, 2019. "Asymptotic properties of the maximum likelihood estimator in regime switching econometric models," Journal of Econometrics, Elsevier, vol. 208(2), pages 442-467.
  62. Ta‐Hsin Li, 2021. "Quantile‐frequency analysis and spectral measures for diagnostic checks of time series with nonlinear dynamics," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 70(2), pages 270-290, March.
  63. Alexandre Carbonneau & Fr'ed'eric Godin, 2020. "Equal Risk Pricing of Derivatives with Deep Hedging," Papers 2002.08492, arXiv.org, revised Jun 2020.
  64. Pincus, Karen V. & Stout, David E. & Sorensen, James E. & Stocks, Kevin D. & Lawson, Raef A., 2017. "Forces for change in higher education and implications for the accounting academy," Journal of Accounting Education, Elsevier, vol. 40(C), pages 1-18.
  65. Davide Pettenuzzo & Francesco Ravazzolo, 2016. "Optimal Portfolio Choice Under Decision‐Based Model Combinations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1312-1332, November.
  66. Grillini, Stefano & Ozkan, Aydin & Sharma, Abhijit, 2022. "Static and dynamic liquidity spillovers in the Eurozone: The role of financial contagion and the Covid-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 83(C).
  67. Bansal, Ravi & Miller, Shane & Song, Dongho & Yaron, Amir, 2021. "The term structure of equity risk premia," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1209-1228.
  68. Flint, Emlyn & Polakow, Daniel, 2023. "Deconstructing the Gerber statistic," Finance Research Letters, Elsevier, vol. 56(C).
  69. Chavez-Demoulin, V. & Embrechts, P. & Sardy, S., 2014. "Extreme-quantile tracking for financial time series," Journal of Econometrics, Elsevier, vol. 181(1), pages 44-52.
  70. Haas, Markus & Liu, Ji-Chun, 2015. "Theory for a Multivariate Markov--switching GARCH Model with an Application to Stock Markets," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112855, Verein für Socialpolitik / German Economic Association.
  71. Nicklas Werge, 2021. "Predicting Risk-adjusted Returns using an Asset Independent Regime-switching Model," Post-Print hal-03313129, HAL.
  72. Godin, Frédéric & Lai, Van Son & Trottier, Denis-Alexandre, 2019. "Option pricing under regime-switching models: Novel approaches removing path-dependence," Insurance: Mathematics and Economics, Elsevier, vol. 87(C), pages 130-142.
  73. King, Daniel & Botha, Ferdi, 2015. "Modelling stock return volatility dynamics in selected African markets," Economic Modelling, Elsevier, vol. 45(C), pages 50-73.
  74. Elizabeth Fons & Paula Dawson & Jeffrey Yau & Xiao-jun Zeng & John Keane, 2019. "A novel dynamic asset allocation system using Feature Saliency Hidden Markov models for smart beta investing," Papers 1902.10849, arXiv.org.
  75. Ruxing Xu & Dan Wu & Ronghua Yi, 2016. "Pricing Cdss And Cds Options Under A Regime-Switching Cev Process With Jump To Default," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(1), pages 253-271.
  76. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Advances in Econometrics, in: Missing Data Methods: Time-Series Methods and Applications, pages 1-86, Emerald Group Publishing Limited.
  77. Hasan, Md. Tanvir, 2022. "The sum of all SCARES COVID-19 sentiment and asset return," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 332-346.
  78. Karl Demers-Bélanger & Van Son Lai, 2019. "Diversification Benefits of Cat Bonds: An In-Depth Examination," Working Papers 2019-008, Department of Research, Ipag Business School.
  79. Chauvet, Marcelle & Jiang, Cheng, 2023. "Nonlinear relationship between monetary policy and stock returns: Evidence from the U.S," Global Finance Journal, Elsevier, vol. 55(C).
  80. Portella-Carbó, Ferran & Pérez-Montiel, Jose & Ozcelebi, Oguzhan, 2023. "Tourism-led economic growth across the business cycle: Evidence from Europe (1995–2021)," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 1241-1253.
  81. Amélie Charles & Olivier Darné & Zakaria Moussa, 2014. "The sensitivity of Fama-French factors to economic uncertainty," Working Papers hal-01015702, HAL.
  82. Alemany, Nuria & Aragó, Vicent & Salvador, Enrique, 2020. "Lead-lag relationship between spot and futures stock indexes: Intraday data and regime-switching models," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 269-280.
  83. Matteo Barigozzi & Daniele Massacci, 2022. "Modelling Large Dimensional Datasets with Markov Switching Factor Models," Papers 2210.09828, arXiv.org, revised Dec 2023.
  84. Fiorentini, Gabriele & Planas, Christophe & Rossi, Alessandro, 2016. "Skewness and kurtosis of multivariate Markov-switching processes," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 153-159.
  85. Emilio Barucci & Marco Casna, 2014. "On the Market Selection Hypothesis in a Mean Reverting Environment," Computational Economics, Springer;Society for Computational Economics, vol. 44(1), pages 101-126, June.
  86. Nabil Maghrebi & Mark J. Holmes & Kosuke Oya, 2014. "Financial instability and the short-term dynamics of volatility expectations," Applied Financial Economics, Taylor & Francis Journals, vol. 24(6), pages 377-395, March.
  87. Élise PAYZAN LE NESTOUR, 2010. "Bayesian Learning in UnstableSettings: Experimental Evidence Based on the Bandit Problem," Swiss Finance Institute Research Paper Series 10-28, Swiss Finance Institute.
  88. Yun Liao, 2017. "Machine Learning in Macro-Economic Series Forecasting," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(12), pages 71-76, December.
  89. Stutzer, Michael, 2020. "Persistence of averages in financial Markov Switching models: A large deviations approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 553(C).
  90. Kei Noba & Jos'e-Luis P'erez & Xiang Yu, 2019. "On the bail-out dividend problem for spectrally negative Markov additive models," Papers 1901.03021, arXiv.org, revised Feb 2020.
  91. Michael D. Goldberg & Olesia Kozlova & Deniz Ozabaci, 2020. "Forward Rate Bias in Developed and Developing Countries: More Risky Not Less Rational," Econometrics, MDPI, vol. 8(4), pages 1-26, December.
  92. 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.
  93. Hammerschmid, Regina & Lohre, Harald, 2018. "Regime shifts and stock return predictability," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 138-160.
  94. Chadwick, Meltem Gülenay & Fazilet, Fatih & Tekatli, Necati, 2015. "Understanding the common dynamics of the emerging market currencies," Economic Modelling, Elsevier, vol. 49(C), pages 120-136.
  95. Xu, Yang & Han, Liyan & Wan, Li & Yin, Libo, 2019. "Dynamic link between oil prices and exchange rates: A non-linear approach," Energy Economics, Elsevier, vol. 84(C).
  96. Wan, Li & Han, Liyan & Xu, Yang & Matousek, Roman, 2021. "Dynamic linkage between the Chinese and global stock markets: A normal mixture approach," Emerging Markets Review, Elsevier, vol. 49(C).
  97. Koki, Constandina & Leonardos, Stefanos & Piliouras, Georgios, 2022. "Exploring the predictability of cryptocurrencies via Bayesian hidden Markov models," Research in International Business and Finance, Elsevier, vol. 59(C).
  98. Roman Frydman & Soren Johansen & Anders Rahbek & Morten Nyboe Tabor, 2021. "Asset Prices Under Knightian Uncertainty," Working Papers Series inetwp172, Institute for New Economic Thinking.
  99. Marcelo Lewin & Carlos Heitor Campani, 2023. "Constrained portfolio strategies in a regime-switching economy," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(1), pages 27-59, March.
  100. Mustafa, Andy Ali & Lin, Ching-Yang & Kakinaka, Makoto, 2022. "Detecting market pattern changes: A machine learning approach," Finance Research Letters, Elsevier, vol. 47(PA).
  101. Peter Nystrup & Stephen Boyd & Erik Lindström & Henrik Madsen, 2019. "Multi-period portfolio selection with drawdown control," Annals of Operations Research, Springer, vol. 282(1), pages 245-271, November.
  102. Massimo Guidolin & Alexei G. Orlov & Manuela Pedio, 2014. "Understanding the Impact of Monetary Policy Shocks on the Corporate Bond Market in Good and Bad Times: A Markov Switching Model," BAFFI CAREFIN Working Papers 1623, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  103. Nikolaos Papanikolaou, 2020. "Markov-Switching Model of Family Income Quintile Shares," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 48(2), pages 207-222, June.
  104. 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.
  105. Andrey Borisov & Alexey Bosov & Gregory Miller & Igor Sokolov, 2021. "Partial Diffusion Markov Model of Heterogeneous TCP Link: Optimization with Incomplete Information," Mathematics, MDPI, vol. 9(14), pages 1-31, July.
  106. Jonathan Fletcher & Elizabeth Littlejohn & Andrew Marshall, 2023. "Exploring the performance of US international bond mutual funds," The Financial Review, Eastern Finance Association, vol. 58(4), pages 765-782, November.
  107. Chappell, Daniel, 2018. "Regime heteroskedasticity in Bitcoin: A comparison of Markov switching models," MPRA Paper 90682, University Library of Munich, Germany.
  108. Hiroyuki Kasahara & Katsumi Shimotsu, 2018. "Testing the Number of Regimes in Markov Regime Switching Models," Papers 1801.06862, arXiv.org, revised Jan 2018.
  109. Haas, Markus, 2016. "A note on optimal portfolios under regime–switching," Finance Research Letters, Elsevier, vol. 19(C), pages 209-216.
  110. Philip Ndikum, 2020. "Machine Learning Algorithms for Financial Asset Price Forecasting," Papers 2004.01504, arXiv.org.
  111. Ji, Qiang & Liu, Bing-Yue & Cunado, Juncal & Gupta, Rangan, 2020. "Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching: Evidence from over a century of data," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  112. Frédérique Bec & Annabelle de Gaye, 2019. "Le modèle autorégressif autorégressif à seuil avec effet rebond : Une application aux rendements boursiers français et américains ," Working Papers hal-02014663, HAL.
  113. Christensen, Timothy M., 2022. "Existence and uniqueness of recursive utilities without boundedness," Journal of Economic Theory, Elsevier, vol. 200(C).
  114. Shi, Yanlin & Ho, Kin-Yip & Liu, Wai-Man, 2016. "Public information arrival and stock return volatility: Evidence from news sentiment and Markov Regime-Switching Approach," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 291-312.
  115. Zhang, Xiaoyuan & Zhang, Tianqi, 2022. "Barrier option pricing under a Markov Regime switching diffusion model," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 273-280.
  116. Joshua C.C. Chan & Cody Yu-Ling Hsiao & Renée A. Fry-McKibbin, 2013. "A Regime Switching Skew-normal Model for Measuring Financial Crisis and Contagion," CAMA Working Papers 2013-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  117. Zhang, Yue-Jun & Yao, Ting & He, Ling-Yun & Ripple, Ronald, 2019. "Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models?," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 302-317.
  118. Antonello Maruotti & Antonio Punzo, 2021. "Initialization of Hidden Markov and Semi‐Markov Models: A Critical Evaluation of Several Strategies," International Statistical Review, International Statistical Institute, vol. 89(3), pages 447-480, December.
  119. Mark J. Flannery & Paul Glasserman & David K.A. Mordecai & Cliff Rossi, 2012. "Forging Best Practices in Risk Management," Working Papers 12-02, Office of Financial Research, US Department of the Treasury.
  120. Ma, Chenchen & Tu, Yundong, 2023. "Shrinkage estimation of multiple threshold factor models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1876-1892.
  121. Kai Zheng & Weidong Xu & Xili Zhang, 2023. "Multivariate Regime Switching Model Estimation and Asset Allocation," Computational Economics, Springer;Society for Computational Economics, vol. 61(1), pages 165-196, January.
  122. Gębka, Bartosz & Serwa, Dobromił, 2015. "The elusive nature of motives to trade: Evidence from international stock markets," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 147-157.
  123. Geir D. Berentsen & Jan Bulla & Antonello Maruotti & Bård Støve, 2022. "Modelling clusters of corporate defaults: Regime‐switching models significantly reduce the contagion source," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 71(3), pages 698-722, June.
  124. Huang, Yan & Kou, Gang & Peng, Yi, 2017. "Nonlinear manifold learning for early warnings in financial markets," European Journal of Operational Research, Elsevier, vol. 258(2), pages 692-702.
  125. Glen Livingston & Darfiana Nur, 2020. "Bayesian inference of smooth transition autoregressive (STAR)(k)–GARCH(l, m) models," Statistical Papers, Springer, vol. 61(6), pages 2449-2482, December.
  126. Zhang, Lei & Li, Yaoyu, 2017. "Regime-switching based vehicle-to-building operation against electricity price spikes," Energy Economics, Elsevier, vol. 66(C), pages 1-8.
  127. Acharya, Viral V. & Amihud, Yakov & Bharath, Sreedhar T., 2013. "Liquidity risk of corporate bond returns: conditional approach," Journal of Financial Economics, Elsevier, vol. 110(2), pages 358-386.
  128. Dichtl, Hubert & Drobetz, Wolfgang & Otto, Tizian, 2023. "Forecasting Stock Market Crashes via Machine Learning," Journal of Financial Stability, Elsevier, vol. 65(C).
  129. Andrea Eross & Andrew Urquhart & Simon Wolfe, 2019. "Investigating risk contagion initiated by endogenous liquidity shocks: evidence from the US and eurozone interbank markets," The European Journal of Finance, Taylor & Francis Journals, vol. 25(1), pages 35-53, January.
  130. Tihana Skrinjaric, 2023. "Leading indicators of financial stress in Croatia: a regime switching approach," Public Sector Economics, Institute of Public Finance, vol. 47(2), pages 205-232.
  131. Denis-Alexandre Trottier & Van Son Lai & Frédéric Godin, 2020. "A Characterization of CAT Bond Performance Indices," Working Papers 2020-008, Department of Research, Ipag Business School.
  132. Ta-Hsin Li, 2019. "Quantile-Frequency Analysis and Spectral Divergence Metrics for Diagnostic Checks of Time Series With Nonlinear Dynamics," Papers 1908.02545, arXiv.org.
  133. Laura Arenas & Ana Maria Gil-Lafuente, 2021. "Regime Switching in High-Tech ETFs: Idiosyncratic Volatility and Return," Mathematics, MDPI, vol. 9(7), pages 1-25, March.
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