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ArticleMoments of Markov switching models

Allan Timmermann2000

Article2000

Moments of Markov switching models

Allan Timmermann

336 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Stochastic processes and financial applications

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 1994Autoregressive conditional heteroskedasticity and changes in regime 1996Modeling the conditional distribution of interest rates as a regime-switching process 1990Alternative models for conditional stock volatility

Cited by

2010When Does Investor Sentiment Predict Stock Returns?2011A model of carbon price interactions with macroeconomic and energy dynamics 2008New Evidence of Asymmetric Dependence Structures in International Equity Markets 2018The impact of oil-market shocks on stock returns in major oil-exporting countries 2004Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns

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2011Markov Switching Models in Empirical Financechapter · 10 shared references 1996The econometrics of financial marketsarticle · 9 shared references 2011The exchange rate and macroeconomic determinants: Time-varying transitional dynamicsarticle · 9 shared references 2003Forecasting Volatility in Financial Markets: A Reviewarticle · 8 shared references 1994A Markov Model of Switching-Regime ARCHarticle · 8 shared references 2004A New Approach to Markov-Switching GARCH Modelsarticle · 8 shared references

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Year2000

Typearticle

Published2000-05-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations336

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s0304-4076(99)00051-2

openalex_workW2109646609

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2001Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities

2009The Determinants of Stock and Bond Return Comovements

2005International Asset Allocation under Regime Switching, Skew and Kurtosis Preferences