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Can stock price fundamentals properly be captured? : using Markov switching in hetereskedasticity models to test identification schemes

Velinov, Anton - 2013

tested by means of a Markov switching in heteroskedasticity model. It is found that for two of the five models considered …

Persistent link: https://www.econbiz.de/10010229662

Asymmetric effects of monetary policy on an emerging stock market

Han, Guowen; Wu, Yongjin; Young, Warren - In: International journal of monetary economics and finance 7 (2014) 3, pp. 192-206

Persistent link: https://www.econbiz.de/10011311411

Regime dependent dynamics and European stock markets : is asset allocation really possible?

Ahmad, Wasim; Bhanumurthy, N. R.; Sehgal, Sanjay - In: Empirica : journal of european economics 42 (2015) 1, pp. 77-107

Persistent link: https://www.econbiz.de/10011318430

Bull, bear or any other states in US stock market?

Jiang, Yu; Fang, Xianming - In: Economic modelling 44 (2015), pp. 54-58

Persistent link: https://www.econbiz.de/10011326294

Regime shifts and volatility in BRIICKS stock markets : an asset allocation perspective

Ahmad, Wasim; Sehgal, Sanjay - In: International journal of emerging markets 10 (2015) 3, pp. 383-408

Persistent link: https://www.econbiz.de/10011489265

Examining the stochastic behavior of REIT returns : evidence from the regime switching approach

Chen, Shyh-Wei; Shen, Chung-hua - In: Economic modelling 29 (2012) 2, pp. 291-298

Persistent link: https://www.econbiz.de/10009536014

Regime-switching determinants of mutual fund performance in South Africa

Apau, Richard; Moores-Pitt, Peter; Muzindutsi, Paul-Francois - In: Economies : open access journal 9 (2021) 4, pp. 1-20

This study assesses the effect of fund-level and systemic factors on the performance of mutual funds in the context of changing market conditions. A Markov regime-switching model is used to analyze the performance of 33 South African equity mutual funds from 2006 to 2019. From the results, fund...

Persistent link: https://www.econbiz.de/10012799837

Predicting the performance of equity anomalies in frontier emerging markets : a Markov switching model approach

Czapkiewicz, Anna; Zaremba, Adam; Szczygielski, Jan Jakub - In: Economic research 32 (2019) 1,4, pp. 3083-3099

Persistent link: https://www.econbiz.de/10012395129

Can we invest on the basis of equity risk premia and risk factors from multi-factor models?

Sakowski, Paweł; Slepaczuk, Robert; Wywiał, Mateusz - In: Economics and business review 2 (2016) 3, pp. 78-98

Persistent link: https://www.econbiz.de/10011634969

Risk-return trade-off for European stock markets

Aslanidis, Nektarios; Christiansen, Charlotte; Savva, … - In: International review of financial analysis 46 (2016), pp. 84-103

Persistent link: https://www.econbiz.de/10011580870

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