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Citations for "International Asset Allocation With Regime Shifts"

by Andrew Ang & Geert Bekaert

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  1. Hsien-Yi Lee, 2012. "Contagion in International Stock Markets during the Sub Prime Mortgage Crisis," International Journal of Economics and Financial Issues, Econjournals, vol. 2(1), pages 41-53.
  2. Paulo Horta, 2013. "Contagion Effects in the European Nyse Euronext Stock Markets in the Context of the 2010 Sovereign Debt Crisis," CEFAGE-UE Working Papers 2013_12, University of Evora, CEFAGE-UE (Portugal).
  3. Chollete, Loran & Pena, Victor de la & Lu, Ching-Chih, 2009. "International Diversification: A Copula Approach," UiS Working Papers in Economics and Finance 2009/27, University of Stavanger.
  4. Degryse, Hans & Elahi, Muhammad Ather & Penas, Maria Fabiana, 2012. "Determinants of Banking System Fragility: A Regional Perspective," CEPR Discussion Papers 8858, C.E.P.R. Discussion Papers.
  5. Peixin (Payton) Liu & Kuan Xu & Yonggan Zhao, 2011. "Market regimes, sectorial investments, and time-varying risk premiums," International Journal of Managerial Finance, Emerald Group Publishing, vol. 7(2), pages 107-133, April.
  6. Carlos Castro & Nini Johana Marin, 2014. "Stock return comovements and integration within the Latin American integrated market," DOCUMENTOS DE TRABAJO 011082, UNIVERSIDAD DEL ROSARIO.
  7. Dalkir, Mehmet, 2009. "Revisiting stock market index correlations," Finance Research Letters, Elsevier, vol. 6(1), pages 23-33, March.
  8. Dennis Quinn & Joachim Voth, 2006. "A century of global equity market correlations," Economics Working Papers 1119, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2008.
  9. Schindler, Felix & Kröncke, Tim-Alexander, 2011. "International Diversification with Securitized Real Estate and the Veiling Glare from Currency Risk," Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis 48705, Verein für Socialpolitik / German Economic Association.
  10. Chan, Kam Fong & Marsden, Alastair, 2014. "Macro risk factors of credit default swap indices in a regime-switching framework," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 285-308.
  11. Timmermann, Allan, 2008. "Elusive return predictability," International Journal of Forecasting, Elsevier, vol. 24(1), pages 1-18.
  12. Chollete, Lorán & Heinen, Andréas & Valdesogo, Alfonso, 2008. "Modeling International Financial Returns with a Multivariate Regime Switching Copula," Discussion Papers 2008/3, Department of Business and Management Science, Norwegian School of Economics.
  13. Massimo Guidolin & Allan Timmermann, 2008. "International asset allocation under regime switching, skew, and kurtosis preferences," Review of Financial Studies, Society for Financial Studies, vol. 21(2), pages 889-935, April.
  14. Aslanidis, Nektarios & Savva, Christos S., 2008. "Stock market integration between new EU member states and the Euro-zone," Working Papers 2072/13263, Universitat Rovira i Virgili, Department of Economics.
  15. ThomasJ. Flavin & Ekaterini Panopoulou, 2010. "Detecting Shift And Pure Contagion In East Asian Equity Markets: A Unified Approach," Pacific Economic Review, Wiley Blackwell, vol. 15(3), pages 401-421, 08.
  16. Baele, Lieven & Bekaert, Geert & Inghelbrecht, Koen & Wei, Min, 2014. "Flights to Safety," Finance and Economics Discussion Series 2014-46, Board of Governors of the Federal Reserve System (U.S.).
  17. Stefania D'Amico, 2005. "Density selection and combination under model ambiguity: an application to stock returns," Finance and Economics Discussion Series 2005-09, Board of Governors of the Federal Reserve System (U.S.).
  18. Szafarz, Ariane & Brière, Marie, 2008. "Crisis-Robust Bond Portfolios," Economics Papers from University Paris Dauphine 123456789/7748, Paris Dauphine University.
  19. van Oordt, Maarten R.C. & Zhou, Chen, 2012. "The simple econometrics of tail dependence," Economics Letters, Elsevier, vol. 116(3), pages 371-373.
  20. repec:dgr:kubcen:2012015 is not listed on IDEAS
  21. Jochen M. Schmittmann, 2010. "Currency Hedging for International Portfolios," IMF Working Papers 10/151, International Monetary Fund.
  22. Hans Manner & Bertrand Candelon, 2010. "Testing For Asset Market Linkages: A New Approach Based On Time-Varying Copulas," Pacific Economic Review, Wiley Blackwell, vol. 15(3), pages 364-384, 08.
  23. Silvo Dajcman, 2013. "Dependence between Croatian and European stock markets – A copula GARCH approach," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics, vol. 31(2), pages 209-232.
  24. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2012. "Financial Risk Measurement for Financial Risk Management," NBER Working Papers 18084, National Bureau of Economic Research, Inc.
  25. Tatsuyoshi Okimoto, 2014. "Asymmetric Increasing Trends in Dependence in International Equity Markets," AJRC Working Papers 1405, Australia-Japan Research Centre, Crawford School of Public Policy, The Australian National University.
  26. Andrew Ang & Allan Timmermann, 2012. "Regime Changes and Financial Markets," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 313-337.
  27. Bekaert, Geert & Hodrick, Robert J. & Zhang, Xiaoyan, 2012. "Aggregate Idiosyncratic Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 47(06), pages 1155-1185, December.
  28. Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Systemic Risk in the Finance and Insurance Sectors," NBER Chapters, in: Market Institutions and Financial Market Risk National Bureau of Economic Research, Inc.
  29. Czinkota, Thomas, 2012. "Das Halteproblem bei Strukturbrüchen in Finanzmarktzeitreihen
    [The Halting Problem applied to Structural Breaks in Financial Time Series]
    ," MPRA Paper 37072, University Library of Munich, Germany.
  30. N Aslanidis & D R Osborn & M Sensier, 2003. "Explaining Movements in UK Stock Prices: How Important is the US Market?," The School of Economics Discussion Paper Series 0305, Economics, The University of Manchester.
  31. Massimo Guidolin & Giovanna Nicodano, 2010. "Ex Post Portfolio Performance with Predictable Skewness and Kurtosis," Carlo Alberto Notebooks 191, Collegio Carlo Alberto.
  32. Andrew Ang & Marie Brière & Ombretta Signori, 2012. "Inflation and Individual Equities," NBER Working Papers 17798, National Bureau of Economic Research, Inc.
  33. Bong-Han Kim & Hyeongwoo Kim & Bong-Soo Lee, 2012. "Spillover Effects of the U.S. Financial Crisis on Financial Markets in Emerging Asian Countries," Auburn Economics Working Paper Series auwp2012-06, Department of Economics, Auburn University.
  34. Marjan Petreski, 2011. "A Markov Switch to Inflation Targeting in Emerging Market Peggers with a Focus on the Czech Republic, Poland and Hungary," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 3, pages 57-75.
  35. John M Maheu & Thomas H McCurdy & Yong Song, 2010. "Components of bull and bear markets: bull corrections and bear rallies," Working Papers tecipa-402, University of Toronto, Department of Economics.
  36. Hartmann, Daniel & Kempa, Bernd & Pierdzioch, Christian, 2008. "Economic and financial crises and the predictability of U.S. stock returns," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 468-480, June.
  37. Chacko, George & Viceira, Luis M, 2005. "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," CEPR Discussion Papers 4913, C.E.P.R. Discussion Papers.
  38. Cunado, J. & Gil-Alana, L.A. & Gracia, Fernando Perez de, 2010. "Mean reversion in stock market prices: New evidence based on bull and bear markets," Research in International Business and Finance, Elsevier, vol. 24(2), pages 113-122, June.
  39. Flavin, Thomas J. & Panopoulou, Ekaterini & Unalmis, Deren, 2008. "On the stability of domestic financial market linkages in the presence of time-varying volatility," Emerging Markets Review, Elsevier, vol. 9(4), pages 280-301, December.
  40. Massimo Guidolin & Allan Timmerman, 2005. "Optimal portfolio choice under regime switching, skew and kurtosis preferences," Working Papers 2005-006, Federal Reserve Bank of St. Louis.
  41. José Gonzalo Rangel & Robert F. Engle, 2011. "The Factor--Spline--GARCH Model for High and Low Frequency Correlations," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 109-124, May.
  42. Tong, Bin & Wu, Chongfeng & Zhou, Chunyang, 2013. "Modeling the co-movements between crude oil and refined petroleum markets," Energy Economics, Elsevier, vol. 40(C), pages 882-897.
  43. Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis, 2012. "A Survey of Systemic Risk Analytics," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 255-296, October.
  44. Vermeulen, Robert, 2013. "International diversification during the financial crisis: A blessing for equity investors?," Journal of International Money and Finance, Elsevier, vol. 35(C), pages 104-123.
  45. Mehmet Balcilar & Shinhye Chang & Rangan Gupta & Vanessa Kasongo & Clement Kyei, 2014. "The Relationship between Oil and Agricultural Commodity Prices: A Quantile Causality Approach," Working Papers 201468, University of Pretoria, Department of Economics.
  46. Chin Man Chui & Jian Yang, 2012. "Extreme Correlation of Stock and Bond Futures Markets: International Evidence," The Financial Review, Eastern Finance Association, vol. 47(3), pages 565-587, 08.
  47. Paulo Horta & Carlos Mendes & Isabel Vieira, 2008. "Contagion effects of the US Subprime Crisis on Developed Countries," CEFAGE-UE Working Papers 2008_08, University of Evora, CEFAGE-UE (Portugal).
  48. Baele, Lieven & Inghelbrecht, Koen, 2010. "Time-varying integration, interdependence and contagion," Journal of International Money and Finance, Elsevier, vol. 29(5), pages 791-818, September.
  49. Suthawan Prukumpai & Yuthana Sethapramote, 2013. "Exploring the Dynamic Interdependence among the East Asian Stock Markets," Diversity, Technology, and Innovation for Operational Competitiveness: Proceedings of the 2013 International Conference on Technology Innovation and Industrial Management, ToKnowPress.
  50. Vítor Caldeirinha & J. Augusto Felício & Andreia Dionísio, 2013. "Effect of the container terminal characteristics on performance," CEFAGE-UE Working Papers 2013_13, University of Evora, CEFAGE-UE (Portugal).
  51. Jotikasthira, Chotibhak & Lundblad, Christian T & Ramadorai, Tarun, 2009. "Asset fire sales and purchases and the international transmission of financial shocks," CEPR Discussion Papers 7595, C.E.P.R. Discussion Papers.
  52. Kole, Erik & Koedijk, Kees & Verbeek, Marno, 2006. "Portfolio implications of systemic crises," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2347-2369, August.
  53. Martin Hoesli & Kustrim Reka, 2013. "Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 47(1), pages 1-35, July.
  54. Carlos Castro, 2010. "Portfolio choice under local industry and country factors," Financial Markets and Portfolio Management, Springer, vol. 24(4), pages 353-393, December.
  55. Peter Christoffersen & Hugues Langlois, 2011. "The Joint Dynamics of Equity Market Factors," CREATES Research Papers 2011-45, School of Economics and Management, University of Aarhus.
  56. Guidolin, Massimo & Ono, Sadayuki, 2006. "Are the dynamic linkages between the macroeconomy and asset prices time-varying?," Journal of Economics and Business, Elsevier, vol. 58(5-6), pages 480-518.
  57. Marie Briere & Bastien Drut, 2009. "The Revenge of Purchasing Power Parity on Carry Trades during Crises," Working Papers CEB 09-013.RS, ULB -- Universite Libre de Bruxelles.
  58. Peter Christoffersen & Vihang Errunza & Kris Jacobs & Hugues Langlois, 2012. "Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach," Review of Financial Studies, Society for Financial Studies, vol. 25(12), pages 3711-3751.
  59. Andrew Ang & Francis A. Longstaff, 2011. "Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe," NBER Working Papers 16982, National Bureau of Economic Research, Inc.
  60. Bethke, Sebastian & Kempf, Alexander & Trapp, Monika, 2013. "The correlation puzzle: The interaction of bond and risk correlation," CFR Working Papers 13-06, University of Cologne, Centre for Financial Research (CFR).
  61. Daniele Bianchi & Massimo Guidolin, 2014. "Can Linear Predictability Models Time Bull and Bear Real Estate Markets? Out-of-Sample Evidence from REIT Portfolios," The Journal of Real Estate Finance and Economics, Springer, vol. 49(1), pages 116-164, July.
  62. Georgios Kouretas & Manolis Syllignakis, 2012. "Switching Volatility in Emerging Stock Markets and Financial Liberalization: Evidence from the new EU Member Countries," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 4(2), pages 65-93, June.
  63. Malgorzata Doman & Ryszard Doman, 2011. "The Impact of the Exchange Rate Dynamics on the Dependencies in Global Stock Market," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 11, pages 73-86.
  64. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2009. "Non-linear predictability in stock and bond returns: when and where is it exploitable?," Working Papers 2008-010, Federal Reserve Bank of St. Louis.
  65. Carl Chiarella & Xue-Zhong He & Weihong Huang & Huanhuan Zheng, 2011. "Estimating Behavioural Heterogeneity Under Regime Switching," Research Paper Series 290, Quantitative Finance Research Centre, University of Technology, Sydney.
  66. Jondeau, E. & Rockinger, M., 2004. "Optimal Portfolio Allocation Under Higher Moments," Working papers 108, Banque de France.
  67. Marco Del Negro & Robin Brooks, 2005. "A Latent Factor Model with Global, Country, and Industry Shocks for International Stock Returns," IMF Working Papers 05/52, International Monetary Fund.
  68. Massimo Guidolin & Stuart Hyde, 2007. "What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model," Working Papers 2006-029, Federal Reserve Bank of St. Louis.
  69. Anna Pajor, 2006. "Bayesian Analysis of the Conditional Correlation Between Stock Index Returns with Multivariate SV Models," Papers physics/0607176, arXiv.org.
  70. Hess, Martin K., 2003. "What drives Markov regime-switching behavior of stock markets? The Swiss case," International Review of Financial Analysis, Elsevier, vol. 12(5), pages 527-543.
  71. Flavin, Thomas J., 2004. "The effect of the Euro on country versus industry portfolio diversification," Journal of International Money and Finance, Elsevier, vol. 23(7-8), pages 1137-1158.
  72. Thomas Flavin & Ekaterini Panopoulou, 2007. "International Portfolio Diversification and Market Linkages in the presence of regime-switching volatility," Money Macro and Finance (MMF) Research Group Conference 2006 150, Money Macro and Finance Research Group.
  73. Csontó, Balázs, 2014. "Emerging market sovereign bond spreads and shifts in global market sentiment," Emerging Markets Review, Elsevier, vol. 20(C), pages 58-74.
  74. Cappiello, Lorenzo & Gérard, Bruno & Manganelli, Simone, 2005. "Measuring comovements by regression quantiles," Working Paper Series 0501, European Central Bank.
  75. Agostino Capponi & Jose Enrique Figueroa Lopez & Andrea Pascucci, 2013. "Dynamic Credit Investment in Partially Observed Markets," Papers 1303.2950, arXiv.org, revised Jun 2014.
  76. Dima Rahman, 2009. "Are Banking Systems Increasingly Fragile ? Investigating Financial Institutions’ CDS Returns Extreme Co-Movements," EconomiX Working Papers 2009-34, University of Paris West - Nanterre la Défense, EconomiX.
  77. Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2014. "Regime Switching Model of US Crude Oil and Stock Market Prices: 1859 to 2013," Working Papers 201429, University of Pretoria, Department of Economics.
  78. Metiu Norbert, 2011. "Financial contagion in developed sovereign bond markets," Research Memorandum 004, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  79. Karen K. Lewis, 2011. "Global asset pricing," Globalization and Monetary Policy Institute Working Paper 88, Federal Reserve Bank of Dallas.
  80. Kole, H.J.W.G. & van Dijk, D.J.C., 2013. "How to Identify and Forecast Bull and Bear Markets?," ERIM Report Series Research in Management ERS-2013-016-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  81. Mensah, Jones Odei & Premaratne, Gamini, 2014. "Dependence patterns among Banking Sectors in Asia: A Copula Approach," MPRA Paper 60119, University Library of Munich, Germany.
  82. Zhu, Xiaoneng, 2011. "Revisiting the expectations hypothesis: The Japanese term structure and regime shifts," Journal of Economics and Business, Elsevier, vol. 63(3), pages 237-249, May.
  83. Lu, Jin-Ray & Chan, Chih-Ming & Wen, Mei-Hui, 2012. "Which demands affect optimal international portfolio choices?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1292-1306.
  84. Nektarios Aslanidis & Denise Osborn & Marianne Sensier, 2003. "Explaining movements in UK stock prices:," Working Papers 0302, University of Crete, Department of Economics.
  85. Nektarios Aslanidis & Denise R. Osborn & Marianne Sensier, 2008. "Comovements between US and UK stock prices: the roles of macroeconomic information and timevarying conditional correlations," The School of Economics Discussion Paper Series 0805, Economics, The University of Manchester.
  86. Achleitner, Ann-Kristin & Kaserer, Christoph & Ampenberger, Markus & Bitsch, Florian, 2009. "The German entrepreneurial index (GEX®): a primer on an ownership-based style index in Germany," CEFS Working Paper Series 2009-13, Center for Entrepreneurial and Financial Studies (CEFS), Technische Universität München.
  87. 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.
  88. Mittnik, Stefan, 2013. "VaR-implied tail-correlation matrices," CFS Working Paper Series 2013/05, Center for Financial Studies (CFS).
  89. Aslanidis, Nektarios & Martínez Ibáñez, Óscar, 2012. "Modelling world investment markets using threshold conditional correlation models," Working Papers 2072/203167, Universitat Rovira i Virgili, Department of Economics.
  90. Nektarios Aslanidis & Denise R. Osborn & Marianne Sensier, 2010. "Co-movements between US and UK stock prices: the role of time-varying conditional correlations," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(4), pages 366-380.
  91. Yu-Hau Hu & Shun-Jen Hsueh, 2013. "A Study of yhe Nonlinear Relationships among the U.S. and Asian Stock Markets during Financial Crises," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 134-147, December.
  92. Wolfgang Bessler & Julian Holler & Philipp Kurmann, 2012. "Hedge funds and optimal asset allocation: Bayesian expectations and spanning tests," Financial Markets and Portfolio Management, Springer, vol. 26(1), pages 109-141, March.
  93. Alizadeh, Amir H. & Gabrielsen, Alexandros, 2013. "Dynamics of credit spread moments of European corporate bond indexes," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3125-3144.
  94. Baele, Lieven, 2005. "Volatility Spillover Effects in European Equity Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 40(02), pages 373-401, June.
  95. Crook, Jonathan & Moreira, Fernando, 2011. "Checking for asymmetric default dependence in a credit card portfolio: A copula approach," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 728-742, September.
  96. Kole, Erik & Koedijk, Kees & Verbeek, Marno, 2007. "Selecting copulas for risk management," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2405-2423, August.
  97. Baele, Lieven & Inghelbrecht, Koen, 2009. "Time-varying Integration and International diversification strategies," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 368-387, June.
  98. Andrew J. Patton, 2004. "Are "market neutral" hedge funds really market neutral?," LSE Research Online Documents on Economics 24819, London School of Economics and Political Science, LSE Library.
  99. Taboga, Marco, 2005. "Portfolio selection with two-stage preferences," Finance Research Letters, Elsevier, vol. 2(3), pages 152-164, September.
  100. Massimo Guidolin & Giovanna Nicodano, 2007. "Small caps in international equity portfolios: the effects of variance risk," Working Papers 2005-075, Federal Reserve Bank of St. Louis.
  101. Alexander, Gordon J. & Baptista, Alexandre M., 2009. "Stress testing by financial intermediaries: Implications for portfolio selection and asset pricing," Journal of Financial Intermediation, Elsevier, vol. 18(1), pages 65-92, January.
  102. Philippe Charlot & Vêlayoudom Marimoutou, 2014. "On the relationship between the prices of oil and the precious metals: Revisiting with a multivariate regime-switching decision tree," Working Papers hal-00980125, HAL.
  103. Cao, Guangxi & Cao, Jie & Xu, Longbing & He, LingYun, 2014. "Detrended cross-correlation analysis approach for assessing asymmetric multifractal detrended cross-correlations and their application to the Chinese financial market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 393(C), pages 460-469.
  104. Støve, Bård & Tjøstheim, Dag & Hufthammer, Karl Ove, 2014. "Using local Gaussian correlation in a nonlinear re-examination of financial contagion," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 62-82.
  105. John Cotter & Francois Longin, 2011. "Implied Correlation from VaR," Working Papers 200618, Geary Institute, University College Dublin.
  106. Smith, Aaron D. & Naik, Prasad A. & Tsai, Chih-Ling, 2005. "Markov-Switching Model Selection Using Kullback-Leibler Divergence," Working Papers 11976, University of California, Davis, Department of Agricultural and Resource Economics.
  107. Luis Catão & Allan Timmermann, 2003. "Country and Industry Dynamics in Stock Returns," IMF Working Papers 03/52, International Monetary Fund.
  108. Krishnan, C.N.V. & Petkova, Ralitsa & Ritchken, Peter, 2009. "Correlation risk," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 353-367, June.
  109. Thomas Q. Pedersen, 2010. "Predictable return distributions," CREATES Research Papers 2010-38, School of Economics and Management, University of Aarhus.
  110. Støve, Bård & Tjøstheim, Dag & Hufthammer, Karl Ove, 2010. "Measuring Financial Contagion by Local Gaussian Correlation," Discussion Papers 2010/12, Department of Business and Management Science, Norwegian School of Economics.
  111. Huseyin Gulen & Yuhang Xing & Lu Zhang, 2011. "Value versus Growth: Time‐Varying Expected Stock Returns," Financial Management, Financial Management Association International, vol. 40(2), pages 381-407, 06.
  112. Marc Joëts, 2012. "Energy price transmissions during extreme movements," EconomiX Working Papers 2012-38, University of Paris West - Nanterre la Défense, EconomiX.
  113. Emrah İ. Çevik & Turhan Korkmaz & Erdal Atukeren, 2012. "Business confidence and stock returns in the USA: a time-varying Markov regime-switching model," Applied Financial Economics, Taylor & Francis Journals, vol. 22(4), pages 299-312, February.
  114. Ozer-Imer, Itir & Ozkan, Ibrahim, 2014. "An empirical analysis of currency volatilities during the recent global financial crisis," Economic Modelling, Elsevier, vol. 43(C), pages 394-406.
  115. Larsen, Linda Sandris & Munk, Claus, 2012. "The costs of suboptimal dynamic asset allocation: General results and applications to interest rate risk, stock volatility risk, and growth/value tilts," Journal of Economic Dynamics and Control, Elsevier, vol. 36(2), pages 266-293.
  116. Guidolin, Massimo & Timmermann, Allan, 2007. "Asset allocation under multivariate regime switching," Journal of Economic Dynamics and Control, Elsevier, vol. 31(11), pages 3503-3544, November.
  117. Agostino Capponi & Jose Figueroa-Lopez & Jeffrey Nisen, 2011. "Pricing and Semimartingale Representations of Vulnerable Contingent Claims in Regime-Switching Markets," Papers 1110.0403, arXiv.org, revised Feb 2012.
  118. Aslanidis, Nektarios & Osborn, Denise R. & Sensier, Marianne, 2008. "Co-movements between US and UK stock prices: the roles of macroeconomic information and time-series varying conditional correlations," Working Papers 2072/8950, Universitat Rovira i Virgili, Department of Economics.
  119. 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.
  120. Massimo Guidolin & Stuart Hyde, 2010. "Can VAR models capture regime shifts in asset returns? a long-horizon strategic asset allocation perspective," Working Papers 2010-002, Federal Reserve Bank of St. Louis.
  121. Jin Zhang & Dietmar Maringer, 2010. "Asset Pair-Copula Selection with Downside Risk Minimization," Working Papers 037, COMISEF.
  122. Meenagh, David & Minford, Patrick & Peel, David, 2007. "Simulating stock returns under switching regimes - A new test of market efficiency," Economics Letters, Elsevier, vol. 94(2), pages 235-239, February.
  123. Elie I Bouri, 2013. "Correlation and Volatility of the MENA Equity Markets in Turbulent Periods, and Portfolio Implications," Economics Bulletin, AccessEcon, vol. 33(2), pages 1575-1593.
  124. Smimou, K., 2014. "International portfolio choice and political instability risk: A multi-objective approach," European Journal of Operational Research, Elsevier, vol. 234(2), pages 546-560.
  125. Taoufik Bouezmarni & Anouar El Ghouch & Abderrahim Taamouti, 2011. "Bernstein estimator for unbounded density copula," Economics Working Papers we1143, Universidad Carlos III, Departamento de Economía.
  126. Jingjing Chai & Raimond Maurer & Olivia S. Mitchell & Ralph Rogalla, 2011. "Lifecycle Impacts of the Financial and Economic Crisis on Household Optimal Consumption, Portfolio Choice, and Labor Supply," NBER Working Papers 17134, National Bureau of Economic Research, Inc.
  127. repec:dgr:uvatin:2011002 is not listed on IDEAS
  128. Manuel Ammann & Michael Verhofen, 2006. "The Effect of Market Regimes on Style Allocation," Financial Markets and Portfolio Management, Springer, vol. 20(3), pages 309-337, September.
  129. Cathy Q. Ning & Loran Chollete, 2009. "The Dependence Structure of Macroeconomic Variables in the US," Working Papers 005, Ryerson University, Department of Economics.
  130. J. Cuñado & L. Gil-Alana & F. Gracia, 2009. "US stock market volatility persistence: evidence before and after the burst of the IT bubble," Review of Quantitative Finance and Accounting, Springer, vol. 33(3), pages 233-252, October.
  131. Dumas, Bernard & Harvey, Campbell R. & Ruiz, Pierre, 2000. "Are Correlations of Stock Returns Justified by Subsequent Changes in National Outputs?," Working Papers 00-2, University of Pennsylvania, Wharton School, Weiss Center.
  132. Entorf, Horst & Jamin, Gösta, 2002. "Dance with the Dollar: Exchange Rate Exposure on the German Stock Market," Darmstadt Discussion Papers in Economics 18198, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute of Economics (VWL).
  133. Wyart, Matthieu & Bouchaud, Jean-Philippe, 2007. "Self-referential behaviour, overreaction and conventions in financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 63(1), pages 1-24, May.
  134. Marc Potters & Jean-Philippe Bouchaud, 2001. "More stylized facts of financial markets: leverage effect and downside correlations," Science & Finance (CFM) working paper archive 29960, Science & Finance, Capital Fund Management.
  135. Kim, Mi Ae & Jang, Bong-Gyu & Lee, Ho-Seok, 2008. "A first-passage-time model under regime-switching market environment," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2617-2627, December.
  136. Chang, Kuang-Liang, 2009. "Do macroeconomic variables have regime-dependent effects on stock return dynamics? Evidence from the Markov regime switching model," Economic Modelling, Elsevier, vol. 26(6), pages 1283-1299, November.
  137. Managi, Shunsuke & Okimoto, Tatsuyoshi, 2013. "Does the price of oil interact with clean energy prices in the stock market?," Japan and the World Economy, Elsevier, vol. 27(C), pages 1-9.
  138. Chollete, Lorán & de la Peña, Victor & Lu, Ching-Chih, 2012. "International diversification: An extreme value approach," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 871-885.
  139. Massimo Guidolin & Allan Timmermann, 2008. "Size and Value Anomalies under Regime Shifts," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 6(1), pages 1-48, Winter.
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