market by applying the quantile regression theory and using daily data from January 4th, 2000 to July 4th, 2016. The authors …

This paper proposes a two-state Markov-switching model for stock market returns in which the state-dependent expected … returns, their variance and associated regime-switching dynamics are allowed to respond to market information. More … specifically, we apply this model to examine the explanatory and predictive power of price range and trading volume for return …