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Re-examination of risk-return dynamics in international equity markets and the role of policy uncertainty, geopolitical risk and VIX : evidence using Markov-switching copulas
Abakah, Emmanuel Joel Aikins; Tiwari, Aviral Kumar; … - In: Finance research letters 47 (2022) 1, pp. 1-8
Persistent link: https://www.econbiz.de/10013455804
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A common jump factor stochastic volatility model
Laurini, Márcio Poletti; Mauad, Roberto Baltieri - In: Finance research letters 12 (2015), pp. 2-10
Persistent link: https://www.econbiz.de/10011551744
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Covariance forecasts and long-run correlations in a Markov-switching model for dynamic correlations
Haas, Markus - In: Finance research letters 7 (2010) 2, pp. 86-97
Persistent link: https://www.econbiz.de/10009272769
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Discussions on the Zero-drift GARCH model : evidence from an Markov regime-switching extension
Feng, Lingbing; Fu, Tong; Shi, Yanlin; Wang, Zili - In: Finance research letters 40 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10012819431
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Does the financial leverage effect depend on volatility regimes?
Chon, Sora; Kim, Jaeho - In: Finance research letters 39 (2021), pp. 1-7
Persistent link: https://www.econbiz.de/10012805319
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Stock market returns, volatility, correlation and liquidity during the COVID-19 crisis : evidence from the Markov switching approach
Just, Małgorzata; Echaust, Krzysztof - In: Finance research letters 37 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012485169
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News sentiment and states of stock return volatility : evidence from long memory and discrete choice models
Shi, Yanlin; Ho, Kin-Yip - In: Finance research letters 38 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10012485650
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Overseas market shocks and VKOSPI dynamics : a Markov-switching approach
Song, Wonho; Ryu, Doojin; Webb, Robert I. - In: Finance research letters 16 (2016), pp. 275-282
Persistent link: https://www.econbiz.de/10011656222
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Hedge ratio on Markov regime-switching diagonal Bekk-Garch model
Zhipeng, Yan; Shenghong, Li - In: Finance research letters 24 (2018), pp. 49-55
Persistent link: https://www.econbiz.de/10011982461
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Option pricing under regime switching : integration over simplexes method
Jang, Bong-Gyu; Tae, Hyeon-Wuk - In: Finance research letters 24 (2018), pp. 301-312
Persistent link: https://www.econbiz.de/10011982658