SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Markov Switching Models in Empirical Finance
16 references·10 citing·39 second hop
Markov Switching Models in Empirical Finance (2011)Markov Switching Models in Empirical Fina…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Asset pricing with liquidity risk (2005)Asset pricing with liquidity …No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyAutoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Stock Returns and the Term Structure (1985)Stock Returns and the Term St…Asset returns and inflation (1977)Asset returns and inflationThe dynamics of returns predictability in cryptocurrency markets (2022)The dynamics of returns predi…Exploring the predictability of cryptocurrencies via Bayesian hidden Markov models (2021)Exploring the predictability …The impact of monetary policy on corporate bonds under regime shifts (2017)The impact of monetary policy…Identifying and measuring the contagion channels at work in the European financial crises (2017)Identifying and measuring the…Volatility forecasting via SVR–GARCH with mixture of Gaussian kernels (2016)Volatility forecasting via SV…Risk-return trade-off for European stock markets (2016)Risk-return trade-off for Eur…How to Identify and Forecast Bull and Bear Markets? (2016)How to Identify and Forecast …Clustering financial time series: New insights from an extended hidden Markov model (2014)Clustering financial time ser…Predicting bear and bull stock markets with dynamic binary time series models (2013)Predicting bear and bull stoc…Combination schemes for turning point predictions (2012)Combination schemes for turni…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Liquidity Risk and Expected Stock Returns (2003)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)Industry costs of equity (1997)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Presidential Address: Discount Rates (2011)Empirical Asset Pricing via Machine Learning (2020)Investor Psychology and Security Market Under‐ and Overreactions (1998)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)Extreme Correlation of International Equity Markets (2001)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1995Comparing Predictive Accuracy5,214 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 1977Asset returns and inflation2,701 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 1994

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Autoregressive conditional heteroskedasticity and changes in regime
1,835 cited

Cited by

  • 2014Clustering financial time series: New insights from an extended hidden Markov model103 cited
  • 2016Volatility forecasting via SVR–GARCH with mixture of Gaussian kernels77 cited
  • 2013Predicting bear and bull stock markets with dynamic binary time series models76 cited
  • 2016How to Identify and Forecast Bull and Bear Markets?59 cited
  • 2012Combination schemes for turning point predictions44 cited
  • 2021Exploring the predictability of cryptocurrencies via Bayesian hidden Markov models41 cited
  • 2022The dynamics of returns predictability in cryptocurrency markets37 cited
  • 2016Risk-return trade-off for European stock markets31 cited
  • 2017Identifying and measuring the contagion channels at work in the European financial crises29 cited
  • 2017The impact of monetary policy on corporate bonds under regime shifts18 cited