Constantinou, Eleni; Georgiades, Robert; Kazandjian, Avo; … - Department of Economics, University of Crete - 2005
This paper provides an analysis of regime switching in volatility and out-of-sample forecasting of the Cyprus Stock Exchange using daily data for the period 1996-2002. We first model volatility regime switching within a univariate Markov-Switching framework. Modelling stock returns within this...