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Markov regime-switching autoregressive model of stock market returns in Nigeria

Adejumo, Oluwasegun A.; Albert, Seno; Asemota, Omorogbe J. - In: CBN journal of applied statistics 11 (2020) 2, pp. 65-83

This study is designed to model and forecast Nigeria's stock market using the AllShare Index (ASI) as a proxy. By employing the Markov regime-switching autore-gressive (MS-AR) model with data from April 2005 to September 2019, the studyanalyzes the stock market volatility in three distinct...

Persistent link: https://www.econbiz.de/10012513279

Grouping stock markets with time-varying Copula-GARCH model

Czapkiewicz, Anna; Majdosz, Paweł - In: Finance a úvěr 64 (2014) 2, pp. 144-159

Persistent link: https://www.econbiz.de/10010340205

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

Forecasting the bear stock market using the aligned index of financial and macroeconomic variables

Gau, Ying-Feng; Liang, Ko-Chin - In: Journal of financial studies : JFS : the official … 30 (2022) 2, pp. 1-40

Persistent link: https://www.econbiz.de/10013464387

Dynamic spillovers between oil and stock markets : new approaches at spillover index

Lee, Yen-Hsien; Liao, Ting-Huei; Huang, Ya-Ling; Huang, … - In: International journal of financial research 6 (2015) 2, pp. 178-189

Persistent link: https://www.econbiz.de/10011405144

When does the stock market listen to economic news? : new evidence from copulas and news wires

Medovikov, Ivan - In: Journal of banking & finance 65 (2016), pp. 27-40

Persistent link: https://www.econbiz.de/10011634320

Stock market spillovers of global risks and hedging opportunities

Salachas, Evangelos; Kouretas, Georgios P.; Laopodis, … - In: European journal of political economy 83 (2024), pp. 1-19

Persistent link: https://www.econbiz.de/10014547146

Detection of high and low states in stock market returns with MCMC method in a Markov switching model

Rey, Clément; Rey, Serge; Viala, Jean-Renaud - In: Economic modelling 41 (2014), pp. 145-155

Persistent link: https://www.econbiz.de/10010438390

The Tunisian stock market index volatility : long memory vs. switching regime

Charfeddine, Lanouar; Ajmi, Ahdi Noomen - In: Emerging markets review 16 (2013), pp. 145-169

Persistent link: https://www.econbiz.de/10010243139

Detecting jumps and regime switches in international stock markets returns

Chevallier, Julien; Goutte, Stéphane - In: Applied economics letters 22 (2015) 13/15, pp. 1011-1019

Persistent link: https://www.econbiz.de/10011312229