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Empirical analysis of stock indices under a regime-switching model with dependent jump size risks

Hsu, Yuan-Lin; Lin, Shih-kuei; Hung, Ming-Chin; Huang, … - In: Economic modelling 54 (2016), pp. 260-275

Persistent link: https://www.econbiz.de/10011642172

Measuring and trading volatility on the US stock market : a regime switching approach

Dapena, José P.; Serur, Juan A.; Siri, Julián R. - 2018

Persistent link: https://www.econbiz.de/10011905061

Earnings quality and the heterogeneous relation between earnings and stock returns

Isidro, Helena; Dias, José G. - In: Review of quantitative finance and accounting 49 (2017) 4, pp. 1143-1165

Persistent link: https://www.econbiz.de/10011797598

Stock market volatility and terrorism : new evidence from the Markov switching model

Aslam, Faheem; Kang, Hyoung Goo; Mughal, Khurrum Shahzad; … - In: Peace economics, peace science and public policy 27 (2021) 2, pp. 263-284

Persistent link: https://www.econbiz.de/10012523540

A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns

Haas, Markus; Liu, Ji-Chun - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 3, pp. 1-27

Persistent link: https://www.econbiz.de/10011897499

Impact of the financial crisis on Indian commodity markets : structural breaks and volatility dynamics

Shalini, Velappan; Prasanna, Krishna - In: Energy economics 53 (2016), pp. 40-57

Persistent link: https://www.econbiz.de/10011660433

Regime-switching angular correlation diversification

Lee, Hsiang-Tai - In: Finance research letters 50 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10014234140

Dynamic asymmetric effect of currency risk pricing of exchange rate on equity markets : a regime-switching based C-Vine copulas method

Mudiangombe, Benjamin; Muteba Mwamba, John - In: International Journal of Financial Studies : open … 10 (2022) 3, pp. 1-30

This paper investigates whether currency risk is priced differently in the different sectors (industrial, financial, and basic materials) of equity markets in a sample of developed United States of America (USA) and developing economies (Brazil, India, Poland, and South Africa). The paper makes...

Persistent link: https://www.econbiz.de/10013368440

Re-examination of risk-return dynamics in international equity markets and the role of policy uncertainty, geopolitical risk and VIX : evidence using Markov-switching copulas

Abakah, Emmanuel Joel Aikins; Tiwari, Aviral Kumar; … - In: Finance research letters 47 (2022) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10013455804

Forecasting conditional volatility based on hybrid GARCH-type models with long memory, regime switching, leverage effect and heavy-tail : further evidence from equity market

Huang, Yirong; Luo, Yi - In: The North American journal of economics and finance : a … 72 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10014534834