Herley, Michael D. - In: International Journal of Financial Studies : open … 14 (2026) 1, pp. 1-12
This paper introduces Bai-Perron structural break detection combined with negative binomial regression to model … six distinct regimes, each with fundamentally different variance characteristics. We then employ negative binomial … negative binomial model reveals that market uncertainty (as measured by the VIX) and financing costs (as indicated by 10-year …