IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login

Citations for "Regime Switching in Stock Market Returns"

by Simon van Norden & Huntley Schaller & )

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. Van Heerden, Dorathea & Rodrigues, Jose & Hockly, Dale & Lambert, Bongani & Taljard, Tjaart & Phiri, Andrew, 2013. "Efficient Market Hypothesis in South Africa: Evidence from a threshold autoregressive (TAR) model," MPRA Paper 50544, University Library of Munich, Germany.
  2. Choi, Kyongwook & Hammoudeh, Shawkat, 2010. "Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment," Energy Policy, Elsevier, vol. 38(8), pages 4388-4399, August.
  3. Francois Chesnay & Eric Jondeau, 2001. "Does Correlation Between Stock Returns Really Increase During Turbulent Periods?," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 30(1), pages 53-80, 02.
  4. Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats, 2013. "The present value model of US stock prices revisited: long-run evidence with structural breaks, 1871-2010," Working Papers 04/13, Instituto Universitario de Análisis Económico y Social.
  5. Benz, Eva & Trück, Stefan, 2009. "Modeling the price dynamics of CO2 emission allowances," Energy Economics, Elsevier, vol. 31(1), pages 4-15, January.
  6. Vasco Gabriel & Luis Martins, 2011. "Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship," Empirical Economics, Springer, vol. 41(3), pages 639-662, December.
  7. Alexandra Krystalogianni & Sotiris Tsolacos, 2005. "Regime switching in yield structures and real estate investment," Journal of Property Research, Taylor & Francis Journals, vol. 21(4), pages 279-299, May.
  8. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  9. 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.
  10. Ramaprasad Bhar & Shigeyuki Hamori, 2006. "Empirical investigation on the relationship between Japanese and Asian emerging equity markets," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(2), pages 77-86, March.
  11. 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.
  12. John M. Maheu & Thomas H. McCurdy & Yong Song, 2012. "Components of Bull and Bear Markets: Bull Corrections and Bear Rallies," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(3), pages 391-403, February.
  13. 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.
  14. Kim, Chang-Jin & Morley, James C. & Nelson, Charles R., 2001. "Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?," Journal of Empirical Finance, Elsevier, vol. 8(4), pages 403-426, September.
  15. Boubakri, Salem & Guillaumin, Cyriac, 2011. "Financial integration and currency risk premium in CEECs: Evidence from the ICAPM," Emerging Markets Review, Elsevier, vol. 12(4), pages 460-484.
  16. Massimo Guidolin & Stuart Hyde, 2009. "What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov Switching model," Applied Financial Economics, Taylor & Francis Journals, vol. 19(6), pages 463-488.
  17. Sen, Rituparna & Hsieh, Fushing, 2009. "A note on testing regime switching assumption based on recurrence times," Statistics & Probability Letters, Elsevier, vol. 79(24), pages 2443-2450, December.
  18. Chao, Hui-Ping, 1998. "Regime Switching In Us Livestock Cycles," 1998 Annual meeting, August 2-5, Salt Lake City, UT 20824, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  19. Shively, Philip A., 2003. "The nonlinear dynamics of stock prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(3), pages 505-517.
  20. Amélie Charles & Olivier Darné & Zakaria Moussa, 2014. "The sensitivity of Fama-French factors to economic uncertainty," Working Papers hal-01015702, HAL.
  21. 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.
  22. Angelidis, Timotheos & Tessaromatis, Nikolaos, 2009. "Idiosyncratic risk matters! A regime switching approach," International Review of Economics & Finance, Elsevier, vol. 18(1), pages 132-141, January.
  23. Guidolin, Massimo & Hyde, Stuart & McMillan, David & Ono, Sadayuki, 2009. "Non-linear predictability in stock and bond returns: When and where is it exploitable?," International Journal of Forecasting, Elsevier, vol. 25(2), pages 373-399.
  24. T. -W. Ho, 2003. "Regime-switching properties of the optimal seigniorage hypothesis: the case of Taiwan," Applied Economics, Taylor & Francis Journals, vol. 35(4), pages 485-494.
  25. Mark J. Holmes & Maghrebi Nabil, 2002. "Non-Linearities, Regime Switching and the Relationship Between Asian Equity and Foreign Exchange Markets," International Economic Journal, Taylor & Francis Journals, vol. 16(4), pages 121-139.
  26. Aloui, Chaker & Jammazi, Rania, 2009. "The effects of crude oil shocks on stock market shifts behaviour: A regime switching approach," Energy Economics, Elsevier, vol. 31(5), pages 789-799, September.
  27. Beat Hintermann, 2009. "Allowance Price Drivers in the First Phase of the EU ETS," CEPE Working paper series 09-63, CEPE Center for Energy Policy and Economics, ETH Zurich.
  28. Margherita Velucchi, 2007. "Regime Switching: Italian Financial Markets over a Century," Econometrics Working Papers Archive wp2007_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  29. Martín Solá & Zacharias Psaradakis & Fabio Spagnolo & Nicola Spagnolo, 2010. "Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities," Department of Economics Working Papers 2010-12, Universidad Torcuato Di Tella.
  30. Steffen, Michael & Löffler, Michael & Schaber, Karlheinz, 2013. "Efficiency of a new Triangle Cycle with flash evaporation in a piston engine," Energy, Elsevier, vol. 57(C), pages 295-307.
  31. Andrew J. Filardo, 1998. "Choosing information variables for transition probabilities in a time-varying transition probability Markov switching model," Research Working Paper 98-09, Federal Reserve Bank of Kansas City.
  32. repec:ebl:ecbull:v:3:y:2008:i:11:p:1-11 is not listed on IDEAS
  33. Hiroshi Ishijima & Masaki Uchida, 2011. "The Regime Switching Portfolios," Asia-Pacific Financial Markets, Springer, vol. 18(2), pages 167-189, May.
  34. James Morley, 2000. "Is There a Positive Intertemporal Tradeoff Between Risk and Return After All?," Econometric Society World Congress 2000 Contributed Papers 0915, Econometric Society.
  35. Eric Girardin & Zhenya Liu, 2003. "The Chinese Stock Market: A Casino with 'Buffer Zones'?," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 1(1), pages 57-70.
  36. Shyh-Wei Chen, 2008. "Non-stationarity and Non-linearity in Stock Prices: Evidence from the OECD Countries," Economics Bulletin, AccessEcon, vol. 3(11), pages 1-11.
  37. Li, Hong, 2013. "Integration versus segmentation in China's stock market: An analysis of time-varying beta risks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 88-105.
  38. 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.
  39. 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 2012-2013_11, CATT - UPPA - Université de Pau et des Pays de l'Adour, revised Jul 2013.
  40. 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.
  41. Hammoudeh, Shawkat & Choi, Kyongwook, 2007. "Characteristics of permanent and transitory returns in oil-sensitive emerging stock markets: The case of GCC countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(3), pages 231-245, July.
  42. Billio, Monica & Pelizzon, Loriana, 2000. "Value-at-Risk: a multivariate switching regime approach," Journal of Empirical Finance, Elsevier, vol. 7(5), pages 531-554, December.
  43. Scott Mayfield, E., 2004. "Estimating the market risk premium," Journal of Financial Economics, Elsevier, vol. 73(3), pages 465-496, September.
  44. Paresh Kumar Narayan, 2005. "Are the Australian and New Zealand stock prices nonlinear with a unit root?," Applied Economics, Taylor & Francis Journals, vol. 37(18), pages 2161-2166.
  45. Don U.A. Galagedera & Roland Shami, 2003. "Association between Markov regime-switching market volatility and beta risk: Evidence from Dow Jones industrial securities," Monash Econometrics and Business Statistics Working Papers 20/03, Monash University, Department of Econometrics and Business Statistics.
  46. Jalal, Amine & Rockinger, Michael, 2008. "Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data," Journal of Empirical Finance, Elsevier, vol. 15(5), pages 868-877, December.
  47. Desislava Chetalova & Rudi Sch\"afer & Thomas Guhr, 2014. "Zooming into market states," Papers 1406.5386, arXiv.org.
  48. Narayan, Paresh Kumar, 2006. "The behaviour of US stock prices: Evidence from a threshold autoregressive model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 71(2), pages 103-108.
  49. Jondeau, Eric & Rockinger, Michael, 2006. "The Copula-GARCH model of conditional dependencies: An international stock market application," Journal of International Money and Finance, Elsevier, vol. 25(5), pages 827-853, August.
  50. Sarantis, Nicholas, 2001. "Nonlinearities, cyclical behaviour and predictability in stock markets: international evidence," International Journal of Forecasting, Elsevier, vol. 17(3), pages 459-482.
  51. Gerald Kohers & Ninon Kohers & Theodor Kohers, 2006. "The risk and return characteristics of developed and emerging stock markets: the recent evidence," Applied Economics Letters, Taylor & Francis Journals, vol. 13(11), pages 737-743.
  52. Wasim Ahmad & N. Bhanumurthy & Sanjay Sehgal, 2015. "Regime dependent dynamics and European stock markets: Is asset allocation really possible?," Empirica, Springer, vol. 42(1), pages 77-107, February.
  53. Eduardo Roca & Victor Wong & Gurudeo Tularam, 2010. "The Market Sensitivity of Australian Superannuation Socially Responsible Investment Funds. Evidence from a Markov Regime Switching Approach," Discussion Papers in Finance finance:201012, Griffith University, Department of Accounting, Finance and Economics.
  54. Vanden, Joel M., 2005. "Equilibrium analysis of volatility clustering," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 374-417, June.
  55. Allan Timmermann & Massimo Guidolin, 2006. "An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 1-22.
  56. Frédérique BEC & Songlin ZENG, 2013. "Do Stock Returns Rebound After Bear Markets? An Empirical Analysis From Five OECD Countries," THEMA Working Papers 2013-21, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  57. Azamat Abdymomunov, 2013. "Regime-switching measure of systemic financial stress," Annals of Finance, Springer, vol. 9(3), pages 455-470, August.
  58. Vassilios Babalos & Mehmet Balcilar & Rangan Gupta & Nikolaos Philippas, 2014. "Revisiting Herding Behavior in REITs: A Regime-Switching Approach," Working Papers 201448, University of Pretoria, Department of Economics.
  59. Tamgac, Unay, 2011. "Crisis and self-fulfilling expectations: The Turkish experience in 1994 and 2000-2001," International Review of Economics & Finance, Elsevier, vol. 20(1), pages 44-58, January.
  60. Balcilar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat, 2014. "What drives herding in oil-rich, developing stock markets? Relative roles of own volatility and global factors," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 418-440.
  61. Shively, Philip A., 2007. "Asymmetric temporary and permanent stock-price innovations," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 120-130, January.
  62. Lin, Shih-Kuei & Lin, Chien-Hsiu & Chuang, Ming-Che & Chou, Chia-Yu, 2014. "A recursive formula for a participating contract embedding a surrender option under regime-switching model with jump risks: Evidence from stock indices," Economic Modelling, Elsevier, vol. 38(C), pages 341-350.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.