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~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
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Journal of empirical finance
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
European journal of operational research : EJOR
206
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116
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1
On testing for bubbles during hyperinflations
Morita, Rubens
;
Psaradakis, Zacharias G.
;
Sola, Martin
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 25-37
Persistent link: https://www.econbiz.de/10014506885
Saved in:
2
An empirical application of Particle Markov Chain Monte Carlo to frailty correlated default models
Nguyen, Ha
- In:
Journal of empirical finance
72
(
2023
),
pp. 103-121
Persistent link: https://www.econbiz.de/10014476811
Saved in:
3
A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks
Pollastri, Alessandro
;
Rodrigues, Paulo Jorge Maurício
; …
- In:
Journal of empirical finance
70
(
2023
),
pp. 322-341
Persistent link: https://www.econbiz.de/10014423714
Saved in:
4
Are cryptocurrencies a safe haven for stock investors? : a regime-switching approach
Li, Leon
;
Miu, Peter
- In:
Journal of empirical finance
70
(
2023
),
pp. 367-385
Persistent link: https://www.econbiz.de/10014423734
Saved in:
5
Score-driven multi-regime Markov-switching EGARCH : empirical evidence using the Meixner distribution
Blazsek, Szabolcs
;
Haddad, Michel Ferreira Cardia
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
4
,
pp. 589-634
Persistent link: https://www.econbiz.de/10014372917
Saved in:
6
What does Google say about credit developments in Brazil?
Neto, Alberto Ronchi
;
Candido, Osvaldo
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
4
,
pp. 499-527
Persistent link: https://www.econbiz.de/10013453758
Saved in:
7
Bayesian bandwidth estimation for local linear fitting in nonparametric regression models
Shang, Han Lin
;
Zhang, Xibin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 55-71
Persistent link: https://www.econbiz.de/10013334620
Saved in:
8
Are multifractal processes suited to forecasting electricity price volatility? : evidence from Australian intraday data
Segnon, Mawuli
;
Lau, Chi Keung
;
Wilfling, Bernd
;
Gupta, …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 73-98
Persistent link: https://www.econbiz.de/10013334628
Saved in:
9
Multivariate Markov-switching score-driven models : an application to the global crude oil market
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
3
,
pp. 313-335
Persistent link: https://www.econbiz.de/10013334746
Saved in:
10
The co-integration of CDS and bonds in time-varying volatility dynamics : do credit risk swaps lower bond risks?
Li, Leon
;
Scrimgeour, Frank G.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
3
,
pp. 475-497
Persistent link: https://www.econbiz.de/10013334844
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11
Volatility cascades in cryptocurrency trading
Gradojevic, Nikola
;
Tsiakas, Ilias
- In:
Journal of empirical finance
62
(
2021
),
pp. 252-265
Persistent link: https://www.econbiz.de/10012693424
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12
Learning for infinitely divisible GARCH models in option pricing
Zhu, Fumin
;
Bianchi, Michele Leonardo
;
Kim, Young Shin
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
3
,
pp. 35-62
Persistent link: https://www.econbiz.de/10012594154
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13
Stochastic model specification in Markov switching vector error correction models
Hauzenberger, Niko
;
Huber, Florian
;
Pfarrhofer, Michael
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
2
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012507433
Saved in:
14
An effcient exact Bayesian method for state space models with stochastic volatility
Huang, Yu-Fan
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
2
,
pp. 1-10
Persistent link: https://www.econbiz.de/10012507436
Saved in:
15
Markov regime-switching autoregressive model with tempered stable distribution : simulation evidence
Feng, Lingbing
;
Shi, Yanlin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
24
(
2020
)
1
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012198500
Saved in:
16
The term structure of Eurozone peripheral bond yields : an asymmetric regime-switching equilibrium correction approach
Avdoulas, Christos
;
Bekiros, Stelios
;
Lucey, Brian M.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
24
(
2020
)
4
,
pp. 1-23
Persistent link: https://www.econbiz.de/10012299596
Saved in:
17
Threshold models with time-varying threshold values and their application in estimating regime-sensitive Taylor rules
Zhu, Yanli
;
Chen, Haiqiang
;
Lin, Ming
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
5
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012198389
Saved in:
18
A multiple regime extension to the Heston–Nandi GARCH(1,1) model
Díaz-Hernández, Adán
;
Constantinou, Nick
- In:
Journal of empirical finance
53
(
2019
),
pp. 162-180
Persistent link: https://www.econbiz.de/10012171628
Saved in:
19
Stock returns and real growth : A Bayesian nonparametric approach
Yang, Qiao
- In:
Journal of empirical finance
53
(
2019
),
pp. 53-69
Persistent link: https://www.econbiz.de/10012171682
Saved in:
20
An efficient sequential learning algorithm in regime-switching environments
Kim, Jaeho
;
Lee, Sunhyung
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
3
,
pp. 1-14
Persistent link: https://www.econbiz.de/10012054894
Saved in:
21
Portfolio optimisation under flexible dynamic dependence modelling
Bernardi, Mauro
;
Catania, Leopoldo
- In:
Journal of empirical finance
48
(
2018
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012109219
Saved in:
22
Markov-switching quantile autoregression : a Gibbs sampling approach
Liu, Xiaochun
;
Luger, Richard
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
2
,
pp. 1-33
Persistent link: https://www.econbiz.de/10011897360
Saved in:
23
A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns
Haas, Markus
;
Liu, Ji-Chun
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011897499
Saved in:
24
Regime switching with structural breaks in output convergence
Beylunioğlu, Fuat C.
;
Stengos, Thanasēs
;
Yazgan, …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
3
,
pp. 1-17
Persistent link: https://www.econbiz.de/10011897526
Saved in:
25
A hidden Markov regime-switching smooth transition model
Elliott, Robert J.
;
Siu, Tak Kuen
;
Lau, John W.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
4
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011965140
Saved in:
26
Bayesian subset selection for two-threshold variable autoregressive models
Ni, Shuxia
;
Xia, Qiang
;
Liu, Jinshan
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
4
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011965304
Saved in:
27
A Markov-switching regression model with non-Gaussian innovations : estimation and testing
De Angelis, Luca
;
Viroli, Cinzia
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011705723
Saved in:
28
VEC-MSF models in Bayesian analysis of short- and long-run relationships
Pajor, Anna
;
Wróblewska, Justyna
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011708691
Saved in:
29
Multiple risk measures for multivariate dynamic heavy-tailed models
Bernardi, Mauro
;
Maruotti, Antonello
;
Petrella, Lea
- In:
Journal of empirical finance
43
(
2017
),
pp. 1-32
Persistent link: https://www.econbiz.de/10011817885
Saved in:
30
Oil price volatility and macroeconomic fundamentals : a regime switching GARCH-MIDAS model
Pan, Zhiyuan
;
Wang, Yudong
;
Wu, Chongfeng
;
Yin, Libo
- In:
Journal of empirical finance
43
(
2017
),
pp. 130-142
Persistent link: https://www.econbiz.de/10011817944
Saved in:
31
On the estimation of regime-switching Lévy models
Chevallier, Julien
;
Goutte, Stéphane
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
1
,
pp. 3-29
Persistent link: https://www.econbiz.de/10011650170
Saved in:
32
Specification analysis in regime-switching continuous-time diffusion models for market volatility
Bu, Ruijun
;
Cheng, Jie
;
Hadri, Kaddour
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
1
,
pp. 65-80
Persistent link: https://www.econbiz.de/10011650223
Saved in:
33
Price discovery in the markets for credit risk : a Markov switching approach
Dimpfl, Thomas
;
Peter, Franziska Julia
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
3
,
pp. 233-249
Persistent link: https://www.econbiz.de/10011507523
Saved in:
34
A test of asymmetric comovement for state-dependent stock returns
Deng, Kaihua
- In:
Journal of empirical finance
36
(
2016
),
pp. 68-85
Persistent link: https://www.econbiz.de/10011662752
Saved in:
35
An infinite hidden Markov model for short-term interest rates
Maheu, John M.
;
Yang, Qiao
- In:
Journal of empirical finance
38
(
2016
),
pp. 202-220
Persistent link: https://www.econbiz.de/10011663269
Saved in:
36
How regular are directional movements in commodity and asset prices? : a Wald test
Oglend, Atle
;
Kleppe, Tore Selland
- In:
Journal of empirical finance
38
(
2016
),
pp. 290-306
Persistent link: https://www.econbiz.de/10011664705
Saved in:
37
Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
Jensen, Mark J.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
4
,
pp. 455-475
Persistent link: https://www.econbiz.de/10011649139
Saved in:
38
Dating US business cycles with macro factors
Fossati, Sebastian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
5
,
pp. 529-547
Persistent link: https://www.econbiz.de/10011649152
Saved in:
39
The place of gold in the cross-market dependencies
Aboura, Sofiane
;
Chevallier, Julien
;
Jammazi, Rania
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
5
,
pp. 567-586
Persistent link: https://www.econbiz.de/10011649166
Saved in:
40
Amplitude and phase synchronization of European business cycles : a wavelet approach
Bruzda, Joanna
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
19
(
2015
)
5
,
pp. 625-655
Persistent link: https://www.econbiz.de/10011431057
Saved in:
41
The frequency of regime switching in financial market volatility
BenSaïda, Ahmed
- In:
Journal of empirical finance
32
(
2015
),
pp. 63-79
Persistent link: https://www.econbiz.de/10011556784
Saved in:
42
Short-term determinants of the idiosyncratic sovereign risk premium : a regime-dependent analysis for European credit default swaps
Calice, Giovanni
;
Mio, RongHui
;
Štěrba, Filip
; …
- In:
Journal of empirical finance
33
(
2015
),
pp. 174-189
Persistent link: https://www.econbiz.de/10011556866
Saved in:
43
Regime-switching cointegration
Jochmann, Markus
;
Koop, Gary
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
19
(
2015
)
1
,
pp. 35-48
Persistent link: https://www.econbiz.de/10011311202
Saved in:
44
Do stock returns rebound after bear markets? : an empirical analysis from five OECD countries
Zeng, Songlin
;
Bec, Frédérique
- In:
Journal of empirical finance
30
(
2015
),
pp. 50-61
Persistent link: https://www.econbiz.de/10011489214
Saved in:
45
Time-variations in commodity price jumps
Diewald, Laszlo
;
Prokopczuk, Marcel
;
Wese Simen, Chardin
- In:
Journal of empirical finance
31
(
2015
),
pp. 72-84
Persistent link: https://www.econbiz.de/10011489343
Saved in:
46
Do monetary policy shocks generate TAR or STAR dynamics in output?
Donayre, Luiggi
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
19
(
2015
)
2
,
pp. 227-247
Persistent link: https://www.econbiz.de/10011313585
Saved in:
47
The effects of monetary policy regime shifts on the term structure of interest rates
Abdymomunov, Azamat
;
Kang, Kyu Ho
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
19
(
2015
)
2
,
pp. 183-207
Persistent link: https://www.econbiz.de/10011313588
Saved in:
48
Re-examining the risk-return relationship in Europe : linear or non-linear trade-off?
Salvador, Enrique
;
Floros, Christos
;
Aragó Manzana, Vicent
- In:
Journal of empirical finance
28
(
2014
),
pp. 60-77
Persistent link: https://www.econbiz.de/10011284508
Saved in:
49
Are regime-shift sources of risk priced in the market?
Chourdakis, Kyriakos
;
Dendramis, Yiannis
;
Tzavalis, Elias
- In:
Journal of empirical finance
28
(
2014
),
pp. 151-170
Persistent link: https://www.econbiz.de/10011285074
Saved in:
50
Regime switches in the risk-return trade-off
Ghysels, Eric
;
Guérin, Pierre
;
Marcellino, Massimiliano
- In:
Journal of empirical finance
28
(
2014
),
pp. 118-138
Persistent link: https://www.econbiz.de/10011285080
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