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9 Estimation, inference and forecasting of time series subject to changes in regime
13 references·16 citing·42 second hop
9 Estimation, inference and forecasting of time series subject to changes in regime (1993)9 Estimation, inference and forecasting o…Specification testing in Markov-switching time-series models (1996)Specification testing in Mark…Mean Reversion in Stock Prices (1996)Mean Reversion in Stock PricesAn Analysis of the Real Interest Rate Under Regime Shifts (1996)An Analysis of the Real Inter…Long Swings in the Dollar: Are They in the Data and Do Markets Know It? (1990)Long Swings in the Dollar: Ar…Alternative models for conditional stock volatility (1990)Alternative models for condit…Stock Volatility and the Crash of '87 (1989)Stock Volatility and the Cras…Business Cycles, Financial Crises, and Stock Volatility (1989)Business Cycles, Financial Cr…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market (1989)A Markov Model of Heteroskeda…Rational-expectations econometric analysis of changes in regime (1988)Rational-expectations econome…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Mean reversion in stock prices (1988)Mean reversion in stock pricesMean Reversion in Stock Prices: Evidence and Implications (1987)Mean Reversion in Stock Price…Forecasting daily attraction demand using big data from search engines and social media (2021)Forecasting daily attraction …Forecasting Destination Weekly Hotel Occupancy with Big Data (2016)Forecasting Destination Weekl…Clustering financial time series: New insights from an extended hidden Markov model (2014)Clustering financial time ser…Gold as an inflation hedge in a time-varying coefficient framework (2012)Gold as an inflation hedge in…Markov Switching Models in Empirical Finance (2011)Markov Switching Models in Em…The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates* (2006)The Role of Asymmetries and R…Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how? (2006)Deviations from purchasing po…Chapter 8 Forecasting economic variables with nonlinear models (2006)Chapter 8 Forecasting economi…Chapter 12 Forecasting with Breaks (2006)Chapter 12 Forecasting with B…Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers (2005)Modelling and forecasting sto…Forecasting economic variables with nonlinear models (2005)Forecasting economic variable…Is There a Positive Relationship between Stock Market Volatility and the Equity Premium? (2004)Is There a Positive Relations…A Dependence Metric for Possibly Nonlinear Processes (2004)A Dependence Metric for Possi…Misspecified Structural Change, Threshold, and Markov-switching models (2002)Misspecified Structural Chang…The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond (2001)The Out-of-Sample Success of …Switching between chartists and fundamentalists: a Markov regime-switching approach (1997)Switching between chartists a…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The relation between implied and realized volatility (1998)Idiosyncratic Risk Matters! (2003)There is a risk-return trade-off after all (2005)Time Series Analysis: Forecasting and Control (1977)Why Does Stock Market Volatility Change Over Time? (1989)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Empirical exchange rate models of the seventies (1983)How Big Is the Random Walk in GNP? (1988)ARCH modeling in finance (1992)The Economics of Exchange Rates (2003)Introductory Econometrics for Finance (2008)Nobel Lecture: Inflation and Unemployment (1977)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆ (2000)Asset Pricing at the Millennium (2000)Dealing with Structural Breaks (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The relationship between return and market value of common stocks (1981)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)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)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Asset Prices in an Exchange Economy (1978)Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Stock Prices, Earnings, and Expected Dividends (1988)Investor Psychology and Asset Pricing (2001)Stock Prices and Volume (1992)Intraday periodicity and volatility persistence in financial markets (1997)Forecasting Volatility in Financial Markets: A Review (2003)Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations (1991)The use of technical analysis in the foreign exchange market (1992)Herd Behaviour, Bubbles and Crashes (1995)
this work references cited by second hop

References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1988Mean reversion in stock prices1,888 cited
  • 1987Mean Reversion in Stock Prices: Evidence and Implications1,875 cited
  • 1990Alternative models for conditional stock volatility1,272 cited
  • 1996Mean Reversion in Stock Prices1,083 cited
  • 1989Stock Volatility and the Crash of '871,045 cited
  • 1990Long Swings in the Dollar: Are They in the Data and Do Markets Know It?984 cited
  • 1988Rational-expectations econometric analysis of changes in regime898 cited
  • 1996An Analysis of the Real Interest Rate Under Regime Shifts779 cited
  • 1989A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market647 cited
  • 1996Specification testing in Markov-switching time-series models476 cited
  • 1989Business Cycles, Financial Crises, and Stock Volatility367 cited

Cited by

  • 2004A Dependence Metric for Possibly Nonlinear Processes247 cited
  • 2016Forecasting Destination Weekly Hotel Occupancy with Big Data229 cited

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  • 2012Gold as an inflation hedge in a time-varying coefficient framework213 cited
  • 2006Chapter 12 Forecasting with Breaks144 cited
  • 2006Chapter 8 Forecasting economic variables with nonlinear models123 cited
  • 2006The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates*122 cited
  • 2004Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?119 cited
  • 2006Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how?112 cited
  • 2011Markov Switching Models in Empirical Finance109 cited
  • 2014Clustering financial time series: New insights from an extended hidden Markov model103 cited
  • 2005Forecasting economic variables with nonlinear models96 cited
  • 1997Switching between chartists and fundamentalists: a Markov regime-switching approach95 cited
  • 2005Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers82 cited
  • 2002Misspecified Structural Change, Threshold, and Markov-switching models74 cited
  • 2001The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond73 cited
  • 2021Forecasting daily attraction demand using big data from search engines and social media61 cited