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Long-term vs. short-term comovements in stock markets : the use of Markov-switching multifractal models
Idier, Julien - In: The European journal of finance 17 (2011) 1/2, pp. 27-48
Persistent link: https://www.econbiz.de/10009155466
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Forecasting hedge fund volatility : a Markov regime-switching approach
Blazsek, Szabolcs; Downarowicz, Anna - In: The European journal of finance 19 (2013) 3/4, pp. 243-275
Persistent link: https://www.econbiz.de/10010243653
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Volatility dependences of stock markets with structural breaks
Luo, Jiawen; Chen, Langnan - In: The European journal of finance 24 (2018) 17, pp. 1727-1753
Persistent link: https://www.econbiz.de/10012259100
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Pricing derivatives with modeling CO2 emission allowance using a regime-switching jump diffusion model : with regime-switching risk premium
Li, Chang-Yi; Chen, Son-nan; Lin, Shih-kuei - In: The European journal of finance 22 (2016) 10/12, pp. 887-908
Persistent link: https://www.econbiz.de/10011715220
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Bitcoin option pricing with a SETAR-GARCH model
Siu, Tak Kuen; Elliott, Robert J. - In: The European journal of finance 27 (2021) 6, pp. 564-595
Persistent link: https://www.econbiz.de/10012484403
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Time-varying beta risk of Pan-European industry portfolios : a comparison of alternative modeling techniques
Mergner, Sascha; Bulla, Jan - In: The European journal of finance 14 (2008) 7/8, pp. 771-802
Persistent link: https://www.econbiz.de/10003816568
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Assessing time-varying stock market integration in Economic and Monetary Union for normal and crisis periods
Sehgal, Sanjay; Gupta, Priyanshi; Deisting, Florent - In: The European journal of finance 23 (2017) 10/12, pp. 1025-1058
Persistent link: https://www.econbiz.de/10011741442
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Multivariate digital options with memory
Cherubini, Umberto; Romagnoli, Silvia - In: The European journal of finance 17 (2011) 7/8, pp. 649-660
Persistent link: https://www.econbiz.de/10009509839
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A structural model for credit risk with switching processes and synchronous jumps
Hainaut, Donatien; Colwell, David B. - In: The European journal of finance 22 (2016) 10/12, pp. 1040-1062
Persistent link: https://www.econbiz.de/10011715297
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Option pricing and hedging in different cyclical structures : a two-dimensional Markov-modulated model
Chen, Son-nan; Hsu, Pao-Peng; Liang, Kuo-yuan - In: The European journal of finance 25 (2019) 8, pp. 762-779
Persistent link: https://www.econbiz.de/10012207028