1. Stock Price Volatility Estimation Using Regime Switching Technique-Empirical Study on the Indian Stock Market. (2021). Naik, Nagaraj ; Mohan, Biju R.
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2. Multiplicative Component GARCH Model of Intraday Volatility. (2021). Yan, Xiufeng.
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3. Autoregressive conditional duration modelling of high frequency data. (2021). Yan, Xiufeng.
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4. Time-varying mixture GARCH models and asymmetric volatility. (2013). Haas, Markus ; STEUDE, Sven C. ; PAOLELLA, MARC S. ; Krause, Jochen.
   In: The North American Journal of Economics and Finance.
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5. Viterbi-Based Estimation for Markov Switching GARCH Model. (2012). Siu, Tak Kuen ; Miao, Hong ; ELLIOTT, ROBERT J. ; Lau, John W..
   In: Applied Mathematical Finance.
   RePEc:taf:apmtfi:v:19:y:2012:i:3:p:219-231.

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6. Nonlinear volatility models in economics: smooth transition and neural network augmented GARCH, APGARCH, FIGARCH and FIAPGARCH models. (2012). Ersin, Özgür ; Bildirici, Melike.
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7. One date, one break?. (2011). Law, Siong Hook ; Karoglou, Michail ; Demetriades, Panicos.
   In: Empirical Economics.
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8. Forecasting exchange rates: The multi-state Markov-switching model with smoothing. (2011). Yuan, Chunming.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:20:y:2011:i:2:p:342-362.

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9. The exchange rate and macroeconomic determinants: Time-varying transitional dynamics. (2011). Yuan, Chunming.
   In: The North American Journal of Economics and Finance.
   RePEc:eee:ecofin:v:22:y:2011:i:2:p:197-220.

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10. Breaking down the non-normality of stock returns. (2010). Karoglou, Michail.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:16:y:2010:i:1:p:79-95.

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11. QR-GARCH-M Model for Risk-Return Tradeoff in U.S. Stock Returns and Business Cycles. (2010). Nyberg, Henri.
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12. Real time detection of structural breaks in GARCH models. (2010). Maheu, John.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:54:y:2010:i:11:p:2628-2640.

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13. The Exchange Rate and Macroeconomic Determinants: Time-Varying Transitional Dynamics. (2009). Yuan, Chunming.
    In: UMBC Economics Department Working Papers.
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14. The effects of crude oil shocks on stock market shifts behaviour: A regime switching approach. (2009). JAMMAZI, RANIA ; Aloui, Chaker.
    In: Energy Economics.
    RePEc:eee:eneeco:v:31:y:2009:i:5:p:789-799.

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15. Regime-switching stochastic volatility: Evidence from the crude oil market. (2009). Vo, Minh T..
    In: Energy Economics.
    RePEc:eee:eneeco:v:31:y:2009:i:5:p:779-788.

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16. Real Time Detection of Structural Breaks in GARCH Models. (2008). Maheu, John.
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17. Hierarchical hidden Markov structure for dynamic correlations: the hierarchical RSDC model.. (2008). Charlot, Philippe ; Marimoutou, Velayoudom.
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18. Robustness of the risk-return relationship in the U.S. stock market. (2008). Luoto, Jani ; Lanne, Markku.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:5:y:2008:i:2:p:118-127.

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19. Are there Structural Breaks in Realized Volatility?. (2007). Maheu, John ; Liu, Chun.
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20. Robustness of the Risk-Return Relationship in the U.S. Stock Market. (2007). Luoto, Jani ; Lanne, Markku.
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21. Multivariate mixed normal conditional heteroskedasticity. (2007). Rombouts, Jeroen ; Hafner, Christian ; Bauwens, Luc.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:51:y:2007:i:7:p:3551-3566.

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22. A Component GARCH Model with Time Varying Weights. (2007). Storti, Giuseppe ; Bauwens, Luc ; G., STORTI, .
    In: Discussion Papers (ECON - Département des Sciences Economiques).
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23. Modelling Financial High Frequency Data Using Point Processes. (2006). Hautsch, Nikolaus ; Bauwens, Luc ; Nikolaus, HAUTSCH ; Luc, Bauwens.
    In: Discussion Papers (ECON - Département des Sciences Economiques).
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24. Modelling financial high frequency data using point processes. (2006). Hautsch, Nikolaus ; Bauwens, Luc.
    In: LIDAM Discussion Papers CORE.
    RePEc:cor:louvco:2006080.

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1. Bayesian Analysis of Power-Transformed and Threshold GARCH Models: A Griddy-Gibbs Sampler Approach. (2017). Liang, Rubing ; Xia, Qiang ; Liu, Jinshan ; Wong, Heung.
   In: Computational Economics.
   RePEc:kap:compec:v:50:y:2017:i:3:d:10.1007_s10614-016-9588-x.

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2. Un analisis de los desequilibrios del tipo de cambio real argentino bajo cambios de regimen. (2014). Dal Bianco, Marcos ; Aromi, J. Daniel.
   In: Working Papers.
   RePEc:bbv:wpaper:1431.

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3. Nonlinear volatility models in economics: smooth transition and neural network augmented GARCH, APGARCH, FIGARCH and FIAPGARCH models. (2012). Ersin, Özgür ; Bildirici, Melike.
   In: MPRA Paper.
   RePEc:pra:mprapa:40330.

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4. Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests. (2012). Guidolin, Massimo ; Bernales, Alejandro.
   In: Working Papers.
   RePEc:igi:igierp:456.

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5. Regime Changes and Financial Markets. (2011). Timmermann, Allan ; Ang, Andrew.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:17182.

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6. Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock. (2011). Leung, Charles ; Chen, Nan-Kuang ; Chang, Kuang-Liang.
   In: The Journal of Real Estate Finance and Economics.
   RePEc:kap:jrefec:v:43:y:2011:i:1:p:221-257.

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7. Regime switches in exchange rate volatility and uncovered interest parity. (2011). Ichiue, Hibiki ; Koyama, Kentaro.
   In: Journal of International Money and Finance.
   RePEc:eee:jimfin:v:30:y:2011:i:7:p:1436-1450.

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8. Confidence building on Euro convergence: Evidence from currency options. (2011). Perotti, Enrico ; Driessen, Joost.
   In: Journal of International Money and Finance.
   RePEc:eee:jimfin:v:30:y:2011:i:3:p:474-491.

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9. Nonlinear exchange rate dynamics under stochastic official intervention. (2011). LEE, HSIU-YUN .
   In: Economic Modelling.
   RePEc:eee:ecmode:v:28:y:2011:i:4:p:1510-1518.

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10. Parameter estimation of an asset price model driven by a weak hidden Markov chain. (2011). Xi, Xiaojing, ; Mamon, Rogemar.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:28:y:2011:i:1-2:p:36-46.

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11. Some variants of adaptive sampling procedures and their applications. (2011). Sengupta, Raghu Nandan.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:55:y:2011:i:12:p:3183-3196.

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12. Regime Changes and Financial Markets. (2011). Timmermann, Allan ; Ang, Andrew.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8480.

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13. The Applications of Mixtures of Normal Distributions in Empirical Finance: A Selected Survey. (2009). Xu, Dinghai.
    In: Working Papers.
    RePEc:wat:wpaper:0904.

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14. Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock. (2009). Leung, Charles ; Chen, Nan-Kuang ; Leung, Charles Ka Yui, ; Chang, Kuang-Liang.
    In: MPRA Paper.
    RePEc:pra:mprapa:23514.

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15. Optimal Prediction with Conditionally Heteroskedastic Factor Analysed Hidden Markov Models. (2009). SAIDANE, Mohamed.
    In: Computational Economics.
    RePEc:kap:compec:v:34:y:2009:i:4:p:323-364.

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16. Volatility regime-switching in European exchange rates prior to monetary unification. (2009). Wilfling, Bernd.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:28:y:2009:i:2:p:240-270.

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17. Markov-switching in target stocks during takeover bids. (2009). Wilfling, Bernd ; Gelman, Sergey.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:5:p:745-758.

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18. An Empirical Characteristic Function Approach to VaR under a Mixture of Normal Distribution with Time-Varying Volatility. (2008). Xu, Dinghai ; Wirjanto, Tony.
    In: Working Papers.
    RePEc:wat:wpaper:08008.

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19. Regime switching models of hedge fund returns. (2008). Downarowicz, Anna ; Blazsek, Szabolcs.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp1208.

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20. Implied Volatility with Time-Varying Regime Probabilities. (2008). Lanne, Markku ; Ahoniemi, Katja.
    In: MPRA Paper.
    RePEc:pra:mprapa:23721.

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21. Credit Rationing, Risk Aversion and Industrial Evolution in Developing Countries. (2008). Utar, Hale ; Tybout, James ; Bond, Eric.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14116.

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22. Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies. (2008). Wu, Liuren ; Carr, Peter ; Bakshi, Gurdip.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:87:y:2008:i:1:p:132-156.

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23. A first-passage-time model under regime-switching market environment. (2008). Kim, Mi Ae ; Lee, Ho-Seok ; Jang, Bong-Gyu.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:32:y:2008:i:12:p:2617-2627.

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24. The long swings in the spot exchange rates and the complex unit roots hypothesis. (2008). Al-Zoubi, Haitham.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:18:y:2008:i:3:p:236-244.

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25. Option Valuation with Normal Mixture GARCH Models. (2008). Lazar, Emese ; Kulperger, Reg ; Badescu, Alex.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:12:y:2008:i:2:n:5.

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26. Estimating Markov-Switching ARMA Models with Extended Algorithms of Hamilton. (2007). Tsay, Wen-Jen ; Chen, Chao-Chun.
    In: IEAS Working Paper : academic research.
    RePEc:sin:wpaper:07-a009.

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27. Theory and Inference for a Markov-Switching GARCH Model. (2007). Rombouts, Jeroen ; Bauwens, Luc ; Bouezmarni, Taoufik.
    In: Cahiers de recherche.
    RePEc:lvl:lacicr:0733.

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28. Theory and inference for a Markov switching Garch model.. (2007). Rombouts, Jeroen ; Bauwens, Luc ; Preminger, Arie.
    In: Cahiers de recherche.
    RePEc:iea:carech:0709.

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29. Central bank intervention and exchange rate dynamics: A rationale for the regime-switching process of exchange rates. (2007). Chang, Wen-Ya ; LEE, HSIU-YUN .
    In: Journal of the Japanese and International Economies.
    RePEc:eee:jjieco:v:21:y:2007:i:1:p:64-77.

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30. Stochastic skew in currency options. (2007). Wu, Liuren ; Carr, Peter.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:86:y:2007:i:1:p:213-247.

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31. Evidence of an asymmetry in the relationship between volatility and autocorrelation. (2007). Kim, Suk-Joong ; McKenzie, Michael D..
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:16:y:2007:i:1:p:22-40.

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32. Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates. (2007). LI, HAITAO ; Hong, Yongmiao ; Zhao, Feng.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:141:y:2007:i:2:p:736-776.

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33. Bayesian estimation of the Gaussian mixture GARCH model. (2007). Galeano, Pedro ; Ausin, Maria Concepcion.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:51:y:2007:i:5:p:2636-2652.

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34. Theory and inference for a Markov switching GARCH model. (2007). Rombouts, Jeroen ; Bauwens, Luc ; Jeroen, ROMBOUTS ; Arie, Preminger.
    In: Discussion Papers (ECON - Département des Sciences Economiques).
    RePEc:ctl:louvec:2007033.

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35. Pricing and Inference with Mixtures of Conditionally Normal Processes.. (2007). Pegoraro, Fulvio ; Monfort, Alain ; Bertholon, H..
    In: Working papers.
    RePEc:bfr:banfra:188.

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36. Multivariate normal mixture GARCH. (2006). Mittnik, Stefan ; Haas, Markus ; PAOLELLA, MARC S..
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200609.

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37. Mean and volatility dynamics of Indian rupee/US dollar exchange rate series: an empirical investigation. (2006). .
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:13:y:2006:i:1:p:41-69.

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38. Normal mixture GARCH(1,1): applications to exchange rate modelling. (2006). Lazar, Emese ; Alexander, Carol.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:21:y:2006:i:3:p:307-336.

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39. Regime switching GARCH models. (2006). Rombouts, Jeroen ; Bauwens, Luc ; Preminger, Arie.
    In: Cahiers de recherche.
    RePEc:iea:carech:0608.

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40. Pricing currency options in the presence of time-varying volatility and non-normalities. (2006). Martin, Vance ; Lim, Guay.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:16:y:2006:i:3:p:291-314.

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41. Detecting shift-contagion in currency and bond markets. (2006). Morley, James ; Gravelle, Toni ; Kichian, Maral.
    In: Journal of International Economics.
    RePEc:eee:inecon:v:68:y:2006:i:2:p:409-423.

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42. Regime switching GARCH models. (2006). Rombouts, Jeroen ; Bauwens, Luc ; Jeroen, ROMBOUTS ; Arie, Preminger ; Luc, Bauwens.
    In: Discussion Papers (ECON - Département des Sciences Economiques).
    RePEc:ctl:louvec:2006006.

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43. Regime switching GARCH models. (2006). Rombouts, Jeroen ; Bauwens, Luc ; Preminger, Arie.
    In: LIDAM Discussion Papers CORE.
    RePEc:cor:louvco:2006011.

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44. REGIME SWITCHING GARCH MODELS. (2006). Bauwens, Luc ; Jeroen V. K. Rombouts, ; Preminger, Arie.
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45. Exchange Rates and Markov Switching Dynamics. (2005). Erlandsson, Ulf ; Cheung, Yin-Wong.
    In: Working Papers.
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46. Equilibrium analysis of volatility clustering. (2005). Vanden, Joel M..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:12:y:2005:i:3:p:374-417.

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47. Stochastic Skew in Currency Options. (2004). Wu, Liuren ; Carr, Peter.
    In: Finance.
    RePEc:wpa:wuwpfi:0409014.

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48. Regime switching as an alternative early warning system of currency crises - an application to South-East Asia. (2004). Erlandsson, Ulf ; Arias, Guillaume.
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49. Exchange rate volatility and its impact on the transaction costs of covered interest rate parity. (2004). Kim, Suk-Joong ; Pham, Toan M. ; Bhar, Ramprasad.
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50. Confidence Building on Euro Conversion: Theory and Evidence from Currency Options. (2004). Perotti, Enrico ; Driessen, Joost.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:4180.

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51. Exchange Rates and Markov Switching Dynamics. (2004). Erlandsson, Ulf ; Cheung, Yin-Wong.
    In: CESifo Working Paper Series.
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52. Test for Breaks in the Conditional Co-Movements of Asset Returns. (2003). Ghysels, Eric ; Andreou, Elena.
    In: University of Cyprus Working Papers in Economics.
    RePEc:ucy:cypeua:3-2003.

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53. Basis variations and regime shifts in the oil futures market. (2003). Fong, Wai Mun ; See, Kim Hock.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:9:y:2003:i:5:p:499-513.

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54. Regime-Switching and the Estimation of Multifractal Processes. (2003). Fisher, Adlai ; Calvet, Laurent.
    In: NBER Working Papers.
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55. The performance of alternative valuation models in the OTC currency options market. (2003). Rasiel, Emma ; Bollen, Nicolas P. B, .
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    RePEc:eee:jimfin:v:22:y:2003:i:1:p:33-64.

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56. The effects of the introduction of the euro on the volatility of European stock markets. (2002). MORANA, CLAUDIO ; Beltratti, Andrea.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:26:y:2002:i:10:p:2047-2064.

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57. Specification Testing and Semiparametric Estimation of Regime Switching Models: An Examination of the US Short Term Interest Rate. (2002). Campbell, Sean D..
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58. On the Variation of Hedging Decisions in Daily Currency Risk Management. (2001). van Dijk, Herman ; Mahieu, Ronald ; Bos, Charles.
    In: Tinbergen Institute Discussion Papers.
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59. Structural Change and Long Memory in Volatility: New Evidence from Daily Exchange Rates. (2000). Laurent, Sébastien ; Beine, Michel.
    In: Econometric Society World Congress 2000 Contributed Papers.
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60. The Political Economy of Exchange Rate Policy in Brazil: 1964-1997. (1999). Terra, Cristina ; Bonomo, Marco.
    In: Research Department Publications.
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61. Too much cocited documents. This list is not complete

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