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Multivariate regimeswitching GARCH with an application to international stock markets
Haas, Markus (contributor); Mittnik, Stefan (contributor) - 2008
Persistent link: https://www.econbiz.de/10003651587
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Value versus growth : time-varying expected stock returns
Gulen, Huseyin (contributor); Xing, Yuhang (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003783889
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Stock prices and economic fluctuations : a Markov switching structural vector autoregressive analysis
Lanne, Markku (contributor); Lütkepohl, Helmut (contributor) - 2008
Persistent link: https://www.econbiz.de/10003787630
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Stock returns and inflation in Greece : a Markov switching approach
Hondroyiannis, George B.; Papapetrou, Evangelia - In: Review of financial economics : RFE 15 (2006) 1, pp. 76-94
Persistent link: https://www.econbiz.de/10003277994
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News intensity and conditional volatility on the French stock market
Cousin, Jean-Gabriel; De Launois, Tanguy - In: Finance : revue de l'Association Française de Finance 27 (2006) 1, pp. 7-60
Persistent link: https://www.econbiz.de/10003340540
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Portfolio optimization under partial information and convex constraints in a hidden Markov model
Sass, Jörn - In: Operations research proceedings 2005 : selected papers …, (pp. 223-228). 2006
Persistent link: https://www.econbiz.de/10003347537
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Option pricing for pure jump processes with Markov switching compensators
Elliott, Robert J. R.; Osakwe, Carlton-James U. - In: Finance and stochastics 10 (2006) 2, pp. 250-275
Persistent link: https://www.econbiz.de/10003334921
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Long term vs. short term comovements in stock markets : the use of Markov-switching multifractal models
Idier, Julien (contributor) - 2008
Persistent link: https://www.econbiz.de/10003796991
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Regime switching : Italian financial markets over a century
Velucchi, Margherita - In: Statistical methods & applications : SMA ; journal of … 18 (2009) 1, pp. 67-86
Persistent link: https://www.econbiz.de/10003812511