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Markov regime-switching autoregressive model of stock market returns in Nigeria

Adejumo, Oluwasegun A.; Albert, Seno; Asemota, Omorogbe J. - In: CBN journal of applied statistics 11 (2020) 2, pp. 65-83

This study is designed to model and forecast Nigeria's stock market using the AllShare Index (ASI) as a proxy. By employing the Markov regime-switching autore-gressive (MS-AR) model with data from April 2005 to September 2019, the studyanalyzes the stock market volatility in three distinct...

Persistent link: https://www.econbiz.de/10012513279

Can linear predictability models time bull and bear real estate markets? : out-of-sample evidence from REIT portfolios

Bianchi, Daniele; Guidolin, Massimo - In: The journal of real estate finance and economics 49 (2014) 1, pp. 116-164

Persistent link: https://www.econbiz.de/10010422318

Hedge fund return dynamics : long memory and regime switching

Limam, M. A.; Terraza, Virginie; Terraza, Michel - In: International journal of financial research 8 (2017) 4, pp. 148-166

Persistent link: https://www.econbiz.de/10011782456

The small firm effect and the random walk hypothesis : evidence from the London Stock Exchange using Markov chains

Mills, Terence C.; Jordanov, Jordan - 1999

Persistent link: https://www.econbiz.de/10001428365

The size effect and the random walk hypothesis : evidence from the London stock exchange using Markov chains

Mills, Terence C.; Jordanov, J. V. - In: Applied financial economics 13 (2003) 11, pp. 807-815

Persistent link: https://www.econbiz.de/10001804430

Evidence of feedback trading with Markov switching regimes

Dean, Warren G.; Faff, Robert W. - In: Review of quantitative finance and accounting 30 (2008) 2, pp. 133-151

Persistent link: https://www.econbiz.de/10003620890

A regime-switching model of stock returns with momentum and mean reversion

Giner, Javier; Zakamulin, Valeriy - In: Economic modelling 122 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014388630

A dynamic Nelson-Siegel yield curve model with Markov switching

Levant, Jared; Ma, Jun - In: Economic modelling 67 (2017), pp. 73-87

Persistent link: https://www.econbiz.de/10011813779

Examining realized volatility regimes under a threshold stochastic volatility model

Xu, Dinghai - In: International journal of finance & economics : IJFE 17 (2012) 4, pp. 373-389

Persistent link: https://www.econbiz.de/10009689475

Regime switching stochastic volatility with skew, fat tails and leverage using returns and realized volatility contemporaneously

Trojan, Sebastian - 2013

Persistent link: https://www.econbiz.de/10010243571

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