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Are regime-shift sources of risk priced in the market?
Chourdakis, Kyriakos; Dendramis, Yiannis; Tzavalis, Elias - In: Journal of empirical finance 28 (2014), pp. 151-170
Persistent link: https://www.econbiz.de/10011285074
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Policy shifts and Markov-switching in financial markets
Reher, Gerrit - 2010
Persistent link: https://www.econbiz.de/10009125898
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Option pricing under stock market cycles with jump risks : evidence from the S&P 500 index
Wang, Shin-yun; Chuang, Ming-Che; Lin, Shih-kuei; Shyu, … - In: Review of quantitative finance and accounting 56 (2021) 1, pp. 25-51
Persistent link: https://www.econbiz.de/10012432624
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Asymmetric correlations on the Croatian equity market
Kunovac, Davor - In: Financial theory and practice 35 (2011) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10009410515
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Asymmetric reactions of China's stock market to short-term interest rates
Fang, Fang; Dong, Weijia; Lv, Xin - In: International journal of economics and finance 8 (2016) 5, pp. 260-270
Persistent link: https://www.econbiz.de/10011487610
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A conditional regime switching CAPM
Vendrame, Vasco; Guermat, Cherif; Tucker, Jon - In: International review of financial analysis 56 (2018), pp. 1-11
Persistent link: https://www.econbiz.de/10012006196
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Is gold a Sometime Safe Haven or an Always Hedge for equity investors? : a Markov-Switching CAPM approach for US and UK stock indices
He, Zhen; O'Connor, Fergal A.; Thijssen, Jacco J. J. - In: International review of financial analysis 60 (2018), pp. 30-37
Persistent link: https://www.econbiz.de/10012007458
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What explains the investment anomaly in the Chinese stock market?
Chen, Jieting - In: Nankai business review international 8 (2017) 4, pp. 495-520
Persistent link: https://www.econbiz.de/10011811933
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Multi-factor asset-pricing models under Markov regime switches : evidence from the Chinese stock market
Chen, Jieting; Kawaguchi, Yuichiro - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-19
This paper proposes a Markov regime-switching asset-pricing model and investigates the asymmetric risk-return relationship under different regimes for the Chinese stock market. It was found that the Chinese stock market has two significant regimes: a persistent bear market and a bull market. In...
Persistent link: https://www.econbiz.de/10011883257
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Value premium and portfolio return regime : evidence from European equities
Tsuji, Chikashi - In: Modern economy 9 (2018) 3, pp. 434-442
Persistent link: https://www.econbiz.de/10011870390