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Applied economics
European journal of operational research : EJOR
206
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Discussion paper / Tinbergen Institute
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Is Bitcoin really a currency? : a viewpoint of a stochastic volatility model
Kunimoto, Noriyuki
;
Kakamu, Kazuhiko
- In:
Applied economics
54
(
2022
)
57
,
pp. 6536-6550
Persistent link: https://www.econbiz.de/10013494160
Saved in:
2
Flexible markov-switching models with evolving regime-specific parameters : an application to Brazilian business cycles
Gomes, Fábio A.
;
Melo, Lívia C. M.
;
Soave, Gian Paulo
- In:
Applied economics
56
(
2024
)
14
,
pp. 1705-1722
Persistent link: https://www.econbiz.de/10014473203
Saved in:
3
Leader-follower dynamics in real historical time : a Markovian test of non-linear causality between sail and steam (co-)development
Damásio, Bruno
;
Mendonça, Sandro
- In:
Applied economics
55
(
2023
)
17
,
pp. 1908-1918
Persistent link: https://www.econbiz.de/10013555059
Saved in:
4
On stylized facts of cryptocurrencies returns and their relationship with other assets, with a focus on the impact of COVID-19
Cremaschini, Alessandro
;
Punzón, Antonio
;
Martellucci, …
- In:
Applied economics
55
(
2023
)
32
,
pp. 3675-3688
Persistent link: https://www.econbiz.de/10014299197
Saved in:
5
Modelling and forecasting COVID-19 stock returns using asymmetric GARCH-ICAPM with mixture and heavy-tailed distributions
Rewat Khanthaporn
;
Wichitaksorn, Nuttanan
- In:
Applied economics
55
(
2023
)
51
,
pp. 6042-6061
Persistent link: https://www.econbiz.de/10014335891
Saved in:
6
Intraday high-frequency pairs trading strategies for energy futures : evidence from China
Luo, Jing
;
Lin, Yucheng
;
Wang, Sijia
- In:
Applied economics
55
(
2023
)
56
,
pp. 6646-6660
Persistent link: https://www.econbiz.de/10014382721
Saved in:
7
Impact of oil demand and supply shocks on food-grain prices : a Markov-switching approach
Forhad, Abdur Rahman
;
Alam, Md Rafayet
- In:
Applied economics
54
(
2022
)
10
,
pp. 1199-1211
Persistent link: https://www.econbiz.de/10012875135
Saved in:
8
ASEAN-5 forex rates and crude oil : Markov regime-switching analysis
Mukhriz Izraf Azman Aziz
;
Umar, Zaghum
;
Gubareva, Mariya
; …
- In:
Applied economics
54
(
2022
)
54
,
pp. 6234-6253
Persistent link: https://www.econbiz.de/10013411364
Saved in:
9
Impact of Brexit on G7 properties
Yoon, Jae Ho
;
Nawrot, Katarzyna Anna
- In:
Applied economics
54
(
2022
)
57
,
pp. 6551-6558
Persistent link: https://www.econbiz.de/10013494155
Saved in:
10
A numerical optimization pesudo-algorithm for two-player zero-sum stochastic games
Li, Peng
;
Li, Xiangrong
;
Yuan, Gonglin
;
Zhang, Maojun
- In:
Applied economics
53
(
2021
)
15
,
pp. 1729-1742
Persistent link: https://www.econbiz.de/10012485289
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11
Weathering financial crisis in China : the role of global market integration
Vikkram Singh
;
Roca, Eduardo
- In:
Applied economics
53
(
2021
)
15
,
pp. 1756-1776
Persistent link: https://www.econbiz.de/10012485291
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12
Persistence, mean reversion, and non-linearities in inflation rates in the GCC countries : an eclectic approach
Osman, Mohamed
- In:
Applied economics
53
(
2021
)
8
,
pp. 913-923
Persistent link: https://www.econbiz.de/10012425441
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13
Fiscal regimes and fiscal sustainability in Sri Lanka
Chua, Chew Lian
;
Perera, Nelson
;
Suardi, Sandy
- In:
Applied economics
53
(
2021
)
21
,
pp. 2384-2397
Persistent link: https://www.econbiz.de/10012501241
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14
Trilemma, dilemma or 2.5-lemma in the transmission of monetary policy : evidence from a Markov-switching panel data model
Alba, Joseph Dennis
;
Wang, Peiming
- In:
Applied economics
53
(
2021
)
42
,
pp. 4917-4929
Persistent link: https://www.econbiz.de/10012609890
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15
Modelling asset returns in the presence of price limits with Markov-switching mixture of truncated normal GARCH distribution : evidence from China
Wang, Donghua
;
Ding, Jin
;
Chu, Guoqing
;
Xu, Dinghai
; …
- In:
Applied economics
53
(
2021
)
7
,
pp. 781-804
Persistent link: https://www.econbiz.de/10012416088
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16
Using statistical process monitoring to identify us business cycle change points and turning points
Enck, David
;
Beruvides, Mario
;
Tercero-Gómez, Víctor G.
; …
- In:
Applied economics
53
(
2021
)
46
,
pp. 5319-5336
Persistent link: https://www.econbiz.de/10012626873
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17
Are Islamic bonds a good safe haven for stocks? : implications for portfolio management in a time-varying regime-switching copula framework
Shahzad, Syed Jawad Hussain
;
Aloui, Chaker
;
Jammazi, Rania
- In:
Applied economics
51
(
2019
)
3
,
pp. 219-238
Persistent link: https://www.econbiz.de/10012160482
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18
Volatility forecasting : long memory, regime switching and heteroscedasticity
Ma, Feng
;
Lu, Xinjie
;
Yang, Ke
;
Zhang, Yaojie
- In:
Applied economics
51
(
2019
)
38
,
pp. 4151-4163
Persistent link: https://www.econbiz.de/10012196974
Saved in:
19
Transmission effects of the U.S. and China monetary policy shocks on the world
Chiang, Shu-Mei
;
Liu, Hung-Chun
;
Huang, Chien-Ming
; …
- In:
Applied economics
51
(
2019
)
46
,
pp. 5063-5075
Persistent link: https://www.econbiz.de/10012197184
Saved in:
20
Score-driven Markov-switching EGARCH models : an application to systematic risk analysis
Blazsek, Szabolcs
;
Ho, Han-Chiang
;
Liu, Su-Ping
- In:
Applied economics
50
(
2018
)
56
,
pp. 6047-6060
Persistent link: https://www.econbiz.de/10012063386
Saved in:
21
Markov regime-switching Beta-t-EGARCH
Blazsek, Szabolcs
;
Ho, Han-Chiang
- In:
Applied economics
49
(
2017
)
47
,
pp. 4793-4805
Persistent link: https://www.econbiz.de/10011844797
Saved in:
22
Asymmetric effects of oil price shocks on stock returns : evidence from a two-stage Markov regime-switching approach
Zhu, Huiming
;
Su, Xianfang
;
You, Wan-hai
;
Ren, Ying-hua
- In:
Applied economics
49
(
2017
)
25
,
pp. 2491-2507
Persistent link: https://www.econbiz.de/10011819559
Saved in:
23
Does garbage pricing increase the immoral disposal of household waste?
Usui, Takehiro
;
Chikasada, Mitsuko
;
Kakamu, Kazuhiko
- In:
Applied economics
49
(
2017
)
38
,
pp. 3829-3840
Persistent link: https://www.econbiz.de/10011819945
Saved in:
24
Cross-country performance of Lévy regime-switching models for stock markets
Chevallier, Julien
;
Goutte, Stéphane
- In:
Applied economics
49
(
2017
)
2
,
pp. 111-137
Persistent link: https://www.econbiz.de/10011810520
Saved in:
25
A tale of two states : asymmetries in the UK small, value and momentum premiums
Sarwar, Golam
;
Mateus, Cesario
;
Todorovic, Natasa
- In:
Applied economics
49
(
2017
)
5
,
pp. 456-476
Persistent link: https://www.econbiz.de/10011810682
Saved in:
26
Study on the price co-movement among the Asia Pacific, European and Chinese coal markets : based on the empirical analysis of MS-VEC model
Xue, Ye
;
Huang, Yiting
- In:
Applied economics
49
(
2017
)
7
,
pp. 693-701
Persistent link: https://www.econbiz.de/10011810879
Saved in:
27
Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching
Rotta, Pedro Nielsen
;
Pereira, Pedro L. Valls
- In:
Applied economics
48
(
2016
)
25/27
,
pp. 2367-2382
Persistent link: https://www.econbiz.de/10011590996
Saved in:
28
Forecasting Brazilian inflation by its aggregate and disaggregated data : a test of predictive power by forecast horizon
Carlo, Thiago Carlomagno
;
Marçal, Emerson Fernandes
- In:
Applied economics
48
(
2016
)
49/51
,
pp. 4846-4860
Persistent link: https://www.econbiz.de/10011641013
Saved in:
29
Monetary shocks, equity returns and volatility : a firm-level panel data analysis
Luo, H. Arthur
;
Cheng, Jen-chi
;
Vijverberg, Chu-ping C.
- In:
Applied economics
48
(
2016
)
4/6
,
pp. 261-275
Persistent link: https://www.econbiz.de/10011412709
Saved in:
30
Regime-switching purchasing power parity in Latin America : Monte Carlo unit root tests with dynamic conditional score
Ayala, Astrid
;
Blazsek, Szabolcs
;
Cuñado Eizaguirre, Juncal
- In:
Applied economics
48
(
2016
)
28/30
,
pp. 2675-2696
Persistent link: https://www.econbiz.de/10011594383
Saved in:
31
A joint analysis of market indexes in credit default swap, volatility and stock markets
Fonseca, José da
;
Wang, Peiming
- In:
Applied economics
48
(
2016
)
19/21
,
pp. 1767-1784
Persistent link: https://www.econbiz.de/10011589737
Saved in:
32
Did large institutional investors flock into the technology herd? : an empirical investigation using a vector Markov-switching model
Balagyozyan, Aram
;
Cakan, Esin
- In:
Applied economics
48
(
2016
)
58/60
,
pp. 5731-5747
Persistent link: https://www.econbiz.de/10011772181
Saved in:
33
The duration analysis of structural breaks : is stability destabilizing?
Park, Jin Suk
- In:
Applied economics
47
(
2015
)
7/9
,
pp. 940-954
Persistent link: https://www.econbiz.de/10010512073
Saved in:
34
Interactions between real economic and financial sides of the US economy in a regime-switching environment
Safarazi, Soodabeh
;
Hammoudeh, Shawkat
;
Balcilar, Mehmet
- In:
Applied economics
47
(
2015
)
58/60
,
pp. 6493-6518
Persistent link: https://www.econbiz.de/10011412036
Saved in:
35
Testing Markov switching models
Huang, Yu-lieh
- In:
Applied economics
46
(
2014
)
16/18
,
pp. 2047-2051
Persistent link: https://www.econbiz.de/10010413344
Saved in:
36
Monetary policy effectiveness and stock market cycles in ASEAN-5
Zare, Roohollah
;
Azali, Mohamed
;
Habibullah, Muzafar Shah
; …
- In:
Applied economics
46
(
2014
)
19/21
,
pp. 2362-2374
Persistent link: https://www.econbiz.de/10010417251
Saved in:
37
Military spending and economic growth in China : a regime-switching analysis
Ali, F. Menla
;
Dimitraki, O.
- In:
Applied economics
46
(
2014
)
28/30
,
pp. 3408-3420
Persistent link: https://www.econbiz.de/10010420069
Saved in:
38
Regime switching and the (in) stability of the price-rent relationship : evidence from the US
Kim, J. R.
;
Chung, K.
- In:
Applied economics
46
(
2014
)
31/33
,
pp. 4041-4052
Persistent link: https://www.econbiz.de/10010421848
Saved in:
39
Does purchasing power parity hold sometimes? : regime switching in real exchange rates
Lee, Hwa Taek
;
Yoon, Gawon
- In:
Applied economics
45
(
2013
)
16/18
,
pp. 2279-294
Persistent link: https://www.econbiz.de/10009772329
Saved in:
40
Measuring the Chinese business cycle
Becker, Ralf
;
Wang, Yuanyuan
- In:
Applied economics
45
(
2013
)
28/30
,
pp. 3988-4003
Persistent link: https://www.econbiz.de/10010345805
Saved in:
41
Time-series prosperties of the dividend-price ratio with social dynamics
Lawrenz, Jochen
- In:
Applied economics
45
(
2013
)
4/6
,
pp. 569-579
Persistent link: https://www.econbiz.de/10009715028
Saved in:
42
A comparative analysis of independent director appointments on stock price behaviour : an empirical investigation based on the Markov regime-switching model
Lee, Yung Chuan
;
Lu, Su-lien
- In:
Applied economics
45
(
2013
)
19/21
,
pp. 2883-2893
Persistent link: https://www.econbiz.de/10010192366
Saved in:
43
The dynamic correlation and volatility of real estate price and rental : an application of MSV model
Hui, Eddie Chi Man
;
Zheng, Xian
- In:
Applied economics
44
(
2012
)
22/24
,
pp. 2985-2995
Persistent link: https://www.econbiz.de/10009616382
Saved in:
44
The within-distribution business cycle dynamics of German firms
Döpke, Jörg
;
Weber, Sebastian
- In:
Applied economics
42
(
2010
)
28/30
,
pp. 3789-3802
Persistent link: https://www.econbiz.de/10009013091
Saved in:
45
The distribution of dairy farm size in Poland : a Markov approach based on information theory
Tonini, Axel
;
Jongeneel, Roelof A.
- In:
Applied economics
41
(
2009
)
1/3
,
pp. 55-69
Persistent link: https://www.econbiz.de/10003828960
Saved in:
46
Markov-switching models, rational expectations and the term structure of interest rates
Beyaert, Arielle
;
Pérez-Castejón, Juan José
- In:
Applied economics
41
(
2009
)
1/3
,
pp. 399-412
Persistent link: https://www.econbiz.de/10003829417
Saved in:
47
The stability of the Turkish Phillips curve and alternative regime shifting models
Önder, A. Özlem
- In:
Applied economics
41
(
2009
)
19/21
,
pp. 2597-2604
Persistent link: https://www.econbiz.de/10003886271
Saved in:
48
A bivariate Markov regime switching GARCH approach to estimate time varying minimum variance hedge ratios
Lee, Hsiang-tai
;
Yoder, Jonathan K.
- In:
Applied economics
39
(
2007
)
10/12
,
pp. 1253-1265
Persistent link: https://www.econbiz.de/10003511726
Saved in:
49
Evidence of the duration-dependence from the stock markets in the Pacific Rim economies
Chen, Shyh-wei
;
Shen, Chung-hua
- In:
Applied economics
39
(
2007
)
10/12
,
pp. 1461-1474
Persistent link: https://www.econbiz.de/10003511923
Saved in:
50
Taiwan's financial holding companies : an empirical investigation based on Markov regime-switching model
Kuo, Chau-jung
;
Lu, Su-lien
- In:
Applied economics
37
(
2005
)
5
,
pp. 593-605
Persistent link: https://www.econbiz.de/10002699536
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