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A Markov Model of Switching-Regime ARCH
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Cited by:
- Haas Markus, 2010. "Skew-Normal Mixture and Markov-Switching GARCH Processes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(4), pages 1-56, September.
- Dejan Živkov & Suzana Balaban & Marko Pećanac, 2021. "Assessing the multiscale “meteor shower” effect from oil to the central and eastern European stock indices," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 1855-1870, April.
- Lee, Hsiang-Tai & Tsang, Wei-Lun, 2011. "Cross hedging single stock with American Depositary Receipt and stock index futures," Finance Research Letters, Elsevier, vol. 8(3), pages 146-157, September.
- Alain Monfort & Jean-Paul Renne, 2013.
"Default, Liquidity, and Crises: an Econometric Framework,"
Journal of Financial Econometrics, Oxford University Press, vol. 11(2), pages 221-262, March.
- Alain Monfort & Jean-Paul Renne, 2010. "Default, Liquidity and Crises : An Econometric Framework," Working Papers 2010-46, Center for Research in Economics and Statistics.
- Monfort, A. & Renne, J-P., 2011. "Default, liquidity and crises: an econometric framework," Working papers 340, Banque de France.
- Baele, L., 2003. "Volatility Spillover Effects in European Equity Markets," Other publications TiSEM dae0be49-4f32-433e-822b-1, Tilburg University, School of Economics and Management.
- Heidari , Hassan & Refah-Kahriz, Arash & Hashemi Berenjabadi, Nayyer, 2018. "Dynamic Relationship between Macroeconomic Variables and Stock Return Volatility in Tehran Stock Exchange: Multivariate MS ARMA GARCH Approach," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, vol. 5(2), pages 223-250, August.
- repec:hum:wpaper:sfb649dp2014-050 is not listed on IDEAS
- repec:wyi:journl:002202 is not listed on IDEAS
- Lieven Baele & Koen Inghelbrecht, 2005.
"Structural versus Temporary Drivers of Country and Industry Risk,"
International Finance
0511005, University Library of Munich, Germany.
- L. Baele & K. Inghelbrecht, 2006. "Structural versus Temporary Drivers of Country and Industry Risk," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/413, Ghent University, Faculty of Economics and Business Administration.
- Gelman, Sergey & Wilfling, Bernd, 2009. "Markov-switching in target stocks during takeover bids," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 745-758, December.
- Chkili, Walid, 2017. "Is gold a hedge or safe haven for Islamic stock market movements? A Markov switching approach," Journal of Multinational Financial Management, Elsevier, vol. 42, pages 152-163.
- Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, Department of Economics and Business Economics, Aarhus University.
- Frijns, Bart & Lehnert, Thorsten & Zwinkels, Remco C.J., 2011.
"Modeling structural changes in the volatility process,"
Journal of Empirical Finance, Elsevier, vol. 18(3), pages 522-532, June.
- Thorsten Lehnert & Bart Frijns & Remco C.J. Zwinkels, 2010. "Modelling structural changes in the volatility process," LSF Research Working Paper Series 10-05, Luxembourg School of Finance, University of Luxembourg.
- Haas, Markus, 2008. "The autocorrelation structure of the Markov-switching asymmetric power GARCH process," Statistics & Probability Letters, Elsevier, vol. 78(12), pages 1480-1489, September.
- Xekalaki, Evdokia & Degiannakis, Stavros, 2005.
"Evaluating volatility forecasts in option pricing in the context of a simulated options market,"
Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 611-629, April.
- Xekalaki, Evdokia & Degiannakis, Stavros, 2005. "Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market," MPRA Paper 80468, University Library of Munich, Germany.
- L. Baele & R. Vander Vennet & A. Van Landschoot, 2004. "Bank Risk Strategies and Cyclical Variation in Bank Stock Returns," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 04/217, Ghent University, Faculty of Economics and Business Administration.
- Ferreiro Javier Ojea, 2019. "Structural change in the link between oil and the European stock market: implications for risk management," Dependence Modeling, De Gruyter, vol. 7(1), pages 53-125, January.
- Sylvia Kaufmann & Sylvia Frühwirth‐Schnatter, 2002.
"Bayesian analysis of switching ARCH models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 23(4), pages 425-458, July.
- Sylvia Fruhwirth-Schnattaer & Sylvia Kaufmann, 2000. "Bayesian Analysis of Switching ARCH Models," Econometric Society World Congress 2000 Contributed Papers 1381, Econometric Society.
- Cheung, Yin-Wong & Erlandsson, Ulf G., 2005.
"Exchange Rates and Markov Switching Dynamics,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 314-320, July.
- Yin-Wong Cheung & Ulf G. Erlandsson, 2004. "Exchange Rates and Markov Switching Dynamics," CESifo Working Paper Series 1348, CESifo.
- Yin-wong Cheung & Ulf G. Erlandsson, 2005. "Exchange Rates and Markov Switching Dynamics," Working Papers 052005, Hong Kong Institute for Monetary Research.
- Khallouli, Wajih & Sandretto, René, 2012.
"Testing for “Contagion” of the Subprime Crisis on the Middle East and North African Stock Markets: A Markov Switching EGARCH Approach,"
Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 27, pages 134-166.
- Wajih Khallouli & Modibo René Sandretto, 2010. "Testing for “contagion” of the subprime crisis on the Middle East and North African stock markets : A Markov Switching EGARCH approach," Working Papers 1022, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
- Wajih Khallouli & René Sandretto, 2012. "Testing for “contagion” of the subprime crisis on the Middle East and North African stock markets : A Markov Switching EGARCH approach," Post-Print halshs-00522683, HAL.
- Wajih Khallouli & René Sandretto, 2010. "Testing for "contagion" of the subprime crisis on the Middle East and North African stock markets: A Markov Switching EGARCH approach," Post-Print halshs-00589830, HAL.
- J L Ford & Bagus Santoso & N J Horsewood, 2007. "Asian Currency Crises: Do Fundamentals still Matter? A Markov-Switching Approach to Causes and Timing," Discussion Papers 07-07, Department of Economics, University of Birmingham.
- Starkey, Christopher Michael & Tsafack, Georges, 2023. "Measuring financial contagion: Dealing with the volatility Bias in the correlation dynamics," International Review of Financial Analysis, Elsevier, vol. 90(C).
- Wajih Khallouli & Rene Sandretto, 2011. "Testing for “Contagion” of the Subprime Crisis on the Middle East And North African Stock Markets: A Markov Switching EGARCH Approach," Working Papers 609, Economic Research Forum, revised 08 Jan 2011.
- Billio, Monica & Casarin, Roberto & Osuntuyi, Anthony, 2016.
"Efficient Gibbs sampling for Markov switching GARCH models,"
Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 37-57.
- Monica Billio & Roberto Casarin & Anthony Osuntuyi, 2012. "Efficient Gibbs Sampling for Markov Switching GARCH Models," Working Papers 2012:35, Department of Economics, University of Venice "Ca' Foscari".
- Kang, In-Bong, 1999. "International foreign exchange agreements and nominal exchange rate volatility: a GARCH application," The North American Journal of Economics and Finance, Elsevier, vol. 10(2), pages 453-472.
- Walid, Chkili & Chaker, Aloui & Masood, Omar & Fry, John, 2011. "Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach," Emerging Markets Review, Elsevier, vol. 12(3), pages 272-292, September.
- Boroumand, Raphaël Homayoun & Goutte, Stéphane & Porcher, Simon & Porcher, Thomas, 2016.
"Asymmetric evidence of gasoline price responses in France: A Markov-switching approach,"
Economic Modelling, Elsevier, vol. 52(PB), pages 467-476.
- Raphael Homayoun Boroumand & Stéphane Goutte & Simon Porcher & Thomas Porcher, 2016. "Asymmetric evidence of gasoline price responses in France: A Markov-switching approach," Post-Print hal-02145806, HAL.
- Chen Tong & Peter Reinhard Hansen & Zhuo Huang, 2022.
"Option pricing with state‐dependent pricing kernel,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1409-1433, August.
- Chen Tong & Peter Reinhard Hansen & Zhuo Huang, 2021. "Option Pricing with State-dependent Pricing Kernel," Papers 2112.05308, arXiv.org, revised Apr 2022.
- Rossi, Alessandro & Gallo, Giampiero M., 2006.
"Volatility estimation via hidden Markov models,"
Journal of Empirical Finance, Elsevier, vol. 13(2), pages 203-230, March.
- Alessandro Rossi & Giampiero M. Gallo, 2002. "Volatility Estimation via Hidden Markov Models," Econometrics Working Papers Archive wp2002_14, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Rey, Clément & Rey, Serge & Viala, Jean-Renaud, 2014.
"Detection of high and low states in stock market returns with MCMC method in a Markov switching model,"
Economic Modelling, Elsevier, vol. 41(C), pages 145-155.
- Clément Rey & Serge Rey & Jean-Renaud Viala, 2013. "Detection Of High And Low States In Stock Market Returns With Mcmc Method In A Markov Switching Model," Working Papers hal-02939031, HAL.
- Clément Rey & Serge Rey & Jean-Renaud Viala, 2014. "Detection of High and Low States in Stock Market Returns with MCMC Method in a Markov Switching Model," Post-Print hal-01880340, HAL.
- Clément Rey & Serge Rey & Jean-Renaud Viala, 2013. "Detection Of High And Low States In Stock Market Returns With Mcmc Method In A Markov Switching Model," Working papers of CATT hal-02939031, HAL.
- Charfeddine, Lanouar, 2016. "Breaks or long range dependence in the energy futures volatility: Out-of-sample forecasting and VaR analysis," Economic Modelling, Elsevier, vol. 53(C), pages 354-374.
- Zhou, Yinggang, 2014. "Modeling the joint dynamics of risk-neutral stock index and bond yield volatilities," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 216-228.
- Alizadeh, Amir H. & Huang, Chih-Yueh & van Dellen, Stefan, 2015. "A regime switching approach for hedging tanker shipping freight rates," Energy Economics, Elsevier, vol. 49(C), pages 44-59.
- Ataurima Arellano, Miguel & Rodríguez, Gabriel, 2020. "Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
- Alexander, Carol, 2004. "Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 2957-2980, December.
- Maheu, John M. & Yang, Qiao, 2016.
"An infinite hidden Markov model for short-term interest rates,"
Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 202-220.
- Maheu, John M & Yang, Qiao, 2015. "An Infinite Hidden Markov Model for Short-term Interest Rates," MPRA Paper 62408, University Library of Munich, Germany.
- John M. Maheu & Qiao Yang, 2015. "An Infinite Hidden Markov Model for Short-term Interest Rates," Working Paper series 15-05, Rimini Centre for Economic Analysis.
- Colavecchio, Roberta & Funke, Michael, 2007.
"Volatility dependence across Asia-Pacific on-shore and off-shore U.S.dollar futures markets,"
BOFIT Discussion Papers
17/2007, Bank of Finland Institute for Emerging Economies (BOFIT).
- Roberta Colavecchio & Michael Funke, 2007. "Volatility dependence across Asia-Pacific on-shore and off-shore U.S. dollar futures markets," Quantitative Macroeconomics Working Papers 20708, Hamburg University, Department of Economics.
- Chlebus Marcin, 2017.
"EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk,"
Central European Economic Journal, Sciendo, vol. 3(50), pages 01-25, December.
- Marcin Chlebus, 2016. "EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk," Working Papers 2016-06, Faculty of Economic Sciences, University of Warsaw.
- Charfeddine, Lanouar & Ajmi, Ahdi Noomen, 2013. "The Tunisian stock market index volatility: Long memory vs. switching regime," Emerging Markets Review, Elsevier, vol. 16(C), pages 170-182.
- Haas, Markus & Mittnik, Stefan, 2008. "Multivariate regimeswitching GARCH with an application to international stock markets," CFS Working Paper Series 2008/08, Center for Financial Studies (CFS).
- Chun-Chang Lee & Chih-Min Liang & Hsing-Jung Chou, 2013. "Identifying Taiwan real estate cycle turning points- An application of the multivariate Markov-switching autoregressive Model," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 3(2), pages 1-1.
- John M. Maheu & Thomas H. McCurdy, 2002.
"Nonlinear Features of Realized FX Volatility,"
The Review of Economics and Statistics, MIT Press, vol. 84(4), pages 668-681, November.
- John M. Maheu & Thomas McCurdy, 2001. "Nonlinear Features of Realized FX Volatility," CIRANO Working Papers 2001s-42, CIRANO.
- Zheng, Tingguo & Zuo, Haomiao, 2013. "Reexamining the time-varying volatility spillover effects: A Markov switching causality approach," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 643-662.
- Liu, Wen-Hsien & Chyi, Yih-Luan, 2006. "A Markov regime-switching model for the semiconductor industry cycles," Economic Modelling, Elsevier, vol. 23(4), pages 569-578, July.
- Bu, Ruijun & Cheng, Jie & Hadri, Kaddour, 2016.
"Reducible diffusions with time-varying transformations with application to short-term interest rates,"
Economic Modelling, Elsevier, vol. 52(PA), pages 266-277.
- Ruijun Bu & Jie Cheng & Kaddour Hadri, 2014. "Reducible Diffusions with Time-Varying Transformations with Application to Short-Term Interest Rates," Economics Working Papers 14-01, Queen's Management School, Queen's University Belfast.
- Pan, Zhiyuan & Wang, Yudong & Wu, Chongfeng & Yin, Libo, 2017. "Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 130-142.
- Hasan Murat Ertuğrul & Ünal Seven, 2023. "Dynamic spillover analysis of international and Turkish food prices," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1918-1928, April.
- 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.
- Marcelo Cunha Medeiros & Alvaro Veiga, 2004. "Modelling multiple regimes in financial volatility with a flexible coefficient GARCH model," Textos para discussão 486, Department of Economics PUC-Rio (Brazil).
- Baele, Lieven, 2005.
"Volatility Spillover Effects in European Equity Markets,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 40(2), pages 373-401, June.
- L. Baele, 2003. "Volatility Spillover Effects in European Equity Markets," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 03/189, Ghent University, Faculty of Economics and Business Administration.
- Baele, L., 2003. "Volatility Spillover Effects in European Equity Markets," Discussion Paper 2003-114, Tilburg University, Center for Economic Research.
- repec:ipg:wpaper:2013-032 is not listed on IDEAS
- Shyh‐Wei Chen & Chung‐Hua Shen, 2004. "Price Common Volatility or Volume Common Volatility? Evidence from Taiwan's Exchange Rate and Stock Markets," Asian Economic Journal, East Asian Economic Association, vol. 18(2), pages 185-211, June.
- Carol Alexander & Emese Lazar, 2006.
"Normal mixture GARCH(1,1): applications to exchange rate modelling,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(3), pages 307-336, April.
- Emese Lazar & Carol Alexander, 2006. "Normal mixture GARCH(1,1): applications to exchange rate modelling," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(3), pages 307-336.
- Carol Alexandra & Emese Lazar, 2004. "Normal Mixture GARCH (1,1): Application to Exchange Rate Modelling," ICMA Centre Discussion Papers in Finance icma-dp2004-05, Henley Business School, University of Reading.
- Michael Frömmel, 2010.
"Volatility Regimes in Central and Eastern European Countries’ Exchange Rates,"
Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 60(1), pages 2-21, February.
- Frömmel, Michael, 2006. "Volatility Regimes in Central and Eastern European Countries' Exchange Rates," Hannover Economic Papers (HEP) dp-333, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- M. Frömmel, 2007. "Volatility Regimes in Central and Eastern European Countries’ Exchange Rates," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 07/487, Ghent University, Faculty of Economics and Business Administration.
- Nomikos, Nikos K. & Pouliasis, Panos K., 2011. "Forecasting petroleum futures markets volatility: The role of regimes and market conditions," Energy Economics, Elsevier, vol. 33(2), pages 321-337, March.
- Raphaël Homayoun Boroumand & Stéphane Goutte & Simon Porcher & Thomas Porcher, 2014.
"A Conditional Markov Regime Switching Model to Study Margins: Application to the French Fuel Retail Markets,"
Working Papers
hal-01090837, HAL.
- Raphael Homayoun Boroumand & Stéphane Goutte & Simon Porcher & Thomas Porcher, 2015. "A Conditional Markov Regime Switching Model To Study Margins: Application To The French Fuel Retail Markets," Post-Print hal-02148309, HAL.
- Gomez-Puig, Marta & Montalvo, JoseG., 1997. "A new indicator to assess the credibility of the EMS," European Economic Review, Elsevier, vol. 41(8), pages 1511-1535, August.
- Kuang-Liang Chang, 2011. "The optimal value-at-risk hedging strategy under bivariate regime switching ARCH framework," Applied Economics, Taylor & Francis Journals, vol. 43(21), pages 2627-2640.
- Segnon, Mawuli & Lux, Thomas, 2013. "Multifractal models in finance: Their origin, properties, and applications," Kiel Working Papers 1860, Kiel Institute for the World Economy (IfW Kiel).
- Rania Jammazi & Duc Khuong Nguyen, 2015.
"Responses of international stock markets to oil price surges: a regime-switching perspective,"
Applied Economics, Taylor & Francis Journals, vol. 47(41), pages 4408-4422, September.
- Rania Jammazi & Duc Khuong Nguyen, 2014. "Responses of international stock markets to oil price surges: a regimeswitching perspective," Working Papers 2014-80, Department of Research, Ipag Business School.
- 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.
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"The exchange rate and macroeconomic determinants: Time-varying transitional dynamics,"
The North American Journal of Economics and Finance, Elsevier, vol. 22(2), pages 197-220, August.
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Econometrics, MDPI, vol. 3(2), pages 1-28, May.
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- Thomas Chuffart, 2013. "Selection Criteria in Regime Switching Conditional Volatility Models," Working Papers halshs-00844413, HAL.
- Thomas Chuffart, 2015. "Selection Criteria in Regime Switching Conditional Volatility Models," Post-Print hal-01457388, HAL.
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- Adnen Ben Nasr & Ahdi N. Ajmi & Rangan Gupta, 2013. "Modeling the Volatility of the Dow Jones Islamic Market World Index Using a Fractionally Integrated Time Varying GARCH (FITVGARCH) Model," Working Papers 201357, University of Pretoria, Department of Economics.
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"Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock,"
The Journal of Real Estate Finance and Economics, Springer, vol. 43(1), pages 221-257, July.
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"Volatility Models,"
LIDAM Discussion Papers ISBA
2011044, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
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