The literature on Markov switching models is increasing and producing interesting results both at theoretical and applied levels. Most often the number of regimes, i.e., of data generating processes, is considered known; this strong hypothesis is adopted to somewhat bypass the nuisance parameter...

In this paper we examine under what circumstances the information accumulated during market closing time and conveyed to the price formation at market opening may be exploited to predict where the stock price will be at the end of the trading day. In our sample of three financial time series, we...