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~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
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Markov chain
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The North American journal of economics and finance : a journal of financial economics studies
European journal of operational research : EJOR
206
Journal of econometrics
116
Operations research letters
85
Economic modelling
79
Mathematics of operations research
74
Discussion paper / Tinbergen Institute
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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International journal of forecasting
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ECONIS (ZBW)
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1
Building optimal regime-switching portfolios
Ciciretti, Vito
;
Bucci, Andrea
- In:
The North American journal of economics and finance : a …
64
(
2023
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014246736
Saved in:
2
The nonlinear effect of oil price shocks on financial stress : evidence from China
Liu, Renren
;
Chen, Jianzhong
;
Wen, Fenghua
- In:
The North American journal of economics and finance : a …
55
(
2021
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012667999
Saved in:
3
Dynamic volatility modelling of Bitcoin using time-varying transition probability Markov-switching GARCH model
Tan, Chia-Yen
;
Koh, You-Beng
;
Ng, Kok-Haur
;
Ng, Kooi-Huat
- In:
The North American journal of economics and finance : a …
56
(
2021
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012821468
Saved in:
4
Risk spillovers and hedge strategies between global crude oil markets and stock markets : do regime switching processes combining long memory and asymmetry matter?
Lin, Ling
;
Zhou, Zhongbao
;
Jiang, Yong
;
Ou, Yangchen
- In:
The North American journal of economics and finance : a …
57
(
2021
),
pp. 1-25
Persistent link: https://www.econbiz.de/10012822126
Saved in:
5
Regime switches and commonalities of the cryptocurrencies asset class
Figà-Talamanca, Gianna
;
Focardi, Sergio M.
;
Patacca, Marco
- In:
The North American journal of economics and finance : a …
57
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012822192
Saved in:
6
Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching : evidence from over a century of data
Ji, Qiang
;
Liu, Bing-Yue
;
Cuñado Eizaguirre, Juncal
; …
- In:
The North American journal of economics and finance : a …
51
(
2020
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012658792
Saved in:
7
An investigation on mixed housing-cycle structures and asymmetric tail dependences
Chang, Kuang-Liang
- In:
The North American journal of economics and finance : a …
51
(
2020
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012658920
Saved in:
8
The effect of domestic and foreign risks on an emerging stock market : a time series analysis
Kirikkaleli, Dervis
- In:
The North American journal of economics and finance : a …
51
(
2020
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012658975
Saved in:
9
Contagion effects and risk transmission channels in the housing, stock, interest rate and currency markets : an Empirical Study in China and the U.S.
Wang, Peiwan
;
Zong, Lu
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-24
Persistent link: https://www.econbiz.de/10012665486
Saved in:
10
Funding liquidity risk and the low-volatility anomaly : evidence from the Taiwan stock market
Hsu, Ching-Chi
;
Wei, An-Pin
;
Chen, Miao-Ling
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-23
Persistent link: https://www.econbiz.de/10012665989
Saved in:
11
Leverage effect on stochastic volatility for option pricing in Hong Kong : a simulation and empirical study
Hong, Hui
;
Bian, Zhicun
;
Chen, Naiwei
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012666125
Saved in:
12
Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models
Arellano, Miguel Ataurima
;
Perez Rodriguez, Gabriel
- In:
The North American journal of economics and finance : a …
52
(
2020
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012654810
Saved in:
13
The demand for banking and shadow banking services
Serletis, Apostolos
;
Xu, Libo
- In:
The North American journal of economics and finance : a …
47
(
2019
),
pp. 132-146
Persistent link: https://www.econbiz.de/10012117824
Saved in:
14
The predictive content of the term premium for GDP growth in Canada : evidence from linear, Markov-switching and probit estimations
Lange, Ronald Henry
- In:
The North American journal of economics and finance : a …
44
(
2018
),
pp. 80-91
Persistent link: https://www.econbiz.de/10012036297
Saved in:
15
Modeling dynamics of short-term international capital flows in China : a Markov regime switching approach
Ning, Ye
;
Zhang, Lingxiang
- In:
The North American journal of economics and finance : a …
44
(
2018
),
pp. 193-203
Persistent link: https://www.econbiz.de/10012036534
Saved in:
16
Pair trading based on quantile forecasting of smooth transition GARCH models
Chen, Cathy W. S.
;
Wang, Zona
;
Songsak Sriboonchitta
; …
- In:
The North American journal of economics and finance : a …
39
(
2017
),
pp. 38-55
Persistent link: https://www.econbiz.de/10011878579
Saved in:
17
Does REIT index hedge inflation risk? : new evidence from the tail quantile dependences of the Markov-switching GRG copula
Chang, Kuang-Liang
- In:
The North American journal of economics and finance : a …
39
(
2017
),
pp. 56-67
Persistent link: https://www.econbiz.de/10011878580
Saved in:
18
A comparative goodness-of-fit analysis of distributions of some Lévy processes and Heston model to stock index returns
Göncü, Ahmet
;
Karahan, Mehmet Oğuz
;
Kuzubaş, Tolga Umut
- In:
The North American journal of economics and finance : a …
36
(
2016
),
pp. 69-83
Persistent link: https://www.econbiz.de/10011672611
Saved in:
19
Volatility transmission across currencies and commodities with US uncertainty measures
Khalifa, Ahmed A. A.
;
Otranto, Edoardo
;
Hammoudeh, Shawkat
- In:
The North American journal of economics and finance : a …
37
(
2016
),
pp. 63-83
Persistent link: https://www.econbiz.de/10011672897
Saved in:
20
Convergence rates of recombining trees for pricing options on stocks under GBM and regime-switching models with known cash dividends
Ma, Jingtang
;
Fan, Jiacheng
- In:
The North American journal of economics and finance : a …
37
(
2016
),
pp. 128-147
Persistent link: https://www.econbiz.de/10011672905
Saved in:
21
Multilateral adjustment, regime switching and real exchange rate dynamics
Bailliu, Jeannine N.
;
Dib, Ali
;
Kano, Takashi
; …
- In:
The North American journal of economics and finance : a …
27
(
2014
),
pp. 68-87
Persistent link: https://www.econbiz.de/10010460903
Saved in:
22
Predicting volatility using the Markov-switching multifractal model : evidence from S&P 100 index and equity options
Chuang, Wen-i
;
Huang, Teng-ching
;
Lin, Bing-huei
- In:
The North American journal of economics and finance : a …
25
(
2013
),
pp. 168-187
Persistent link: https://www.econbiz.de/10009779311
Saved in:
23
Nonlinearities in exchange rate determination in a small open economy : some evidence for Canada
Kempa, Bernd
;
Riedel, Jana
- In:
The North American journal of economics and finance : a …
24
(
2013
),
pp. 268-278
Persistent link: https://www.econbiz.de/10009739644
Saved in:
24
Gold as an inflation hedge in a time-varying coefficient framework
Beckmann, Joscha
;
Czudaj, Robert
- In:
The North American journal of economics and finance : a …
24
(
2013
),
pp. 208-222
Persistent link: https://www.econbiz.de/10009739656
Saved in:
25
How does news sentiment impact asset volatility? : evidence from long memory and regime-switching approaches
Ho, Kin-Yip
;
Shi, Yanlin
;
Zhang, Zhaoyong
- In:
The North American journal of economics and finance : a …
26
(
2013
),
pp. 436-456
Persistent link: https://www.econbiz.de/10010367572
Saved in:
26
Reexamining the time-varying volatility spillover effects : a Markov switching causality approach
Zheng, Tingguo
;
Zuo, Haomiao
- In:
The North American journal of economics and finance : a …
26
(
2013
),
pp. 643-662
Persistent link: https://www.econbiz.de/10010370486
Saved in:
27
The exchange rate and macroeconomic determinants : time-varying transitional dynamics
Yuan, Chunming
- In:
The North American journal of economics and finance : a …
22
(
2011
)
2
,
pp. 197-220
Persistent link: https://www.econbiz.de/10009267527
Saved in:
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