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The aftermath of the subprime crisis : a clustering analysis of world banking sector

Dias, José G.; Ramos, Sofia B. - In: Review of quantitative finance and accounting 42 (2014) 2, pp. 251-292

Persistent link: https://www.econbiz.de/10010391657

Option pricing with a levy-type stochastic dynamic model for stock price process under semi-Markovian structural perturbations

Assonken, Patrick; Ladde, Gangaram S. - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-72

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Evaluation of regime switching models for real-time business cycle analysis of the euro area

Billio, Monica; Ferrara, Laurent; Guégan, Dominique; … - In: Journal of forecasting 32 (2013) 7, pp. 577-586

Persistent link: https://www.econbiz.de/10010202176

An explanation of spread's ability to predict economic activity : a regime switching model

Evgenidis, Anastasios; Siriopoulos, Costas - In: Journal of economic studies 43 (2016) 3, pp. 488-503

Persistent link: https://www.econbiz.de/10011690205

An efficient sequential learning algorithm in regime-switching environments

Kim, Jaeho; Lee, Sunhyung - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 3, pp. 1-14

Persistent link: https://www.econbiz.de/10012054894

Forecasting inflation in post-oil boom years : a case for regime switches?

Ahmadov, Vugar; Huseynov, Salman; Adigozalov, Shaig; … - In: Journal of economics and finance 42 (2018) 2, pp. 369-385

Persistent link: https://www.econbiz.de/10012031015

Macroeconomic implications of oil price fluctuations : a regime-switching framework for the euro area

Holm-Hadulla, Fédéric; Hubrich, Kirstin - 2017

We investigate whether the response of the macro-economy to oil price shocks undergoes episodic changes. Employing a regime-switching vector autoregressive model we identify two regimes that are characterized by qualitatively different patterns in economic activity and inflation following oil...