1. A regime-switching model of stock returns with momentum and mean reversion. (2023). Zakamulin, Valeriy ; Giner, Javier.
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2. Did the expectations channel work? Evidence from quantitative easing in Japan, 2001–06. (2016). McMillan, David ; Tsuji, Chikashi.
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   RePEc:taf:oaefxx:v:4:y:2016:i:1:p:1210996.

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3. International sign predictability of stock returns: The role of the United States. (2016). Pönkä, Harri ; Nyberg, Henri ; Ponka, Harri.
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   RePEc:eee:ecmode:v:58:y:2016:i:c:p:323-338.

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1. Macroeconomic Regimes and Regime Shifts. (2016). Hamilton, James.
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2. AGGREGATE SHOCKS DECOMPOSITION FOR EIGHT EAST ASIAN COUNTRIES. (2009). Lee, Grace ; Grace H. Y. Lee, .
   In: Monash Economics Working Papers.
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3. Comparing smooth transition and Markov switching autoregressive models of US unemployment. (2008). Deschamps, Philippe.
   In: Journal of Applied Econometrics.
   RePEc:jae:japmet:v:23:y:2008:i:4:p:435-462.

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4. Comparing smooth transition and Markov switching autoregressive models of US Unemployment. (2008). Deschamps, Philippe.
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5. The economic performance of cities: a Markov-switching approach. (2007). Wheeler, Christopher ; Wall, Howard ; Piger, Jeremy ; Owyang, Michael.
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6. Bayesian inference of a smooth transition dynamic almost ideal model of food demand in the US. (2006). Bailey, Alastair ; Balcombe, Kelvin.
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7. Expected Money Growth, Markov Trends and the Instability of Money Demand in the Euro Area. (2006). Kaufmann, Sylvia ; Kugler, Peter.
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8. Dynamic Limited Dependent Variable Modeling and U.S. Monetary Policy. (2006). Monokroussos, George.
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9. How do changes in monetary policy affect bank lending? An analysis of Austrian bank data. (2006). Kaufmann, Sylvia ; Fruhwirth-Schnatter, Sylvia.
   In: Journal of Applied Econometrics.
   RePEc:jae:japmet:v:21:y:2006:i:3:p:275-305.

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10. Fiscal Policy and the Term Structure: Evidence from the Case of Italy in the EMS and the EMU Periods. (2006). Giglio, Stefano ; Favero, Carlo.
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11. Bayesian simultaneous determination of structural breaks and lag lengths. (2006). Karlsson, Sune ; Hultblad, Brigitta .
    In: SSE/EFI Working Paper Series in Economics and Finance.
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12. Fiscal Policy and the Term Structure: Evidence from the Case of Italy in the EMS and the EMU Periods. (2006). Giglio, Stefano ; Favero, Carlo.
    In: CEPR Discussion Papers.
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13. The Decline in German Output Volatility: A Bayesian Analysis. (2005). Boysen-Hogrefe, Jens ; Aßmann, Christian ; Liesenfeld, Roman ; Amann, Christian.
    In: Economics Working Papers.
    RePEc:zbw:cauewp:4134.

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14. Classical Estimation of Multivariate Markov-Switching Models using MSVARlib. (2005). Bellone, Benoit.
    In: Econometrics.
    RePEc:wpa:wuwpem:0508017.

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15. Une lecture probabiliste du cycle d’affaires américain. (2005). Bellone, Benoit.
    In: Econometrics.
    RePEc:wpa:wuwpem:0407002.

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16. Empirical factor demands and flexible functional forms: a bayesian approach. (2005). sitzia, bruno ; Manera, Matteo.
    In: Economic Systems Research.
    RePEc:taf:ecsysr:v:17:y:2005:i:1:p:57-75.

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17. Dynamic Limited Dependent Variable Modeling and US Monetary Policy. (2005). Monokroussos, George.
    In: Computing in Economics and Finance 2005.
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18. Dating Business Cycle Turning Points. (2005). Hamilton, James ; Chauvet, Marcelle.
    In: NBER Working Papers.
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19. How well do Markov switching models describe actual business cycles? The case of synchronization. (2005). Summers, Peter ; Smith, Penelope.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:20:y:2005:i:2:p:253-274.

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20. The Brazilian currency turmoil of 2002: a nonlinear analysis. (2005). Goretti, Manuela.
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:10:y:2005:i:4:p:289-306.

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21. Detecting Turning Points with Many Predictors through Hidden Markov Models. (2004). Bellone, Benoit ; Saint-Martin, David.
    In: Econometrics.
    RePEc:wpa:wuwpem:0407001.

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22. MSVARlib: a new Gauss library to estimate multivariate Hidden Markov Models. (2004). Bellone, Benoit.
    In: Econometrics.
    RePEc:wpa:wuwpem:0406004.

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23. Entry and Exit Dynamics in Austrian Manufacturing. (2004). Hölzl, Werner ; Leopold, Sogner.
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24. How Well Do Markov Switching Models Describe Actual Business Cycles? The Case of Synchronization. (2004). Summers, Peter ; Smith, Penelope.
    In: Melbourne Institute Working Paper Series.
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25. Non-Markovian regime switching with endogenous states and time-varying state strengths. (2004). Chib, Siddhartha.
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26. Business cycle phases in U.S. states. (2004). Wall, Howard ; Piger, Jeremy ; Owyang, Michael.
    In: Working Papers.
    RePEc:fip:fedlwp:2003-011.

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27. Identification and normalization in Markov switching models of \business cycles\. (2004). Summers, Peter ; Smith, Penelope.
    In: Research Working Paper.
    RePEc:fip:fedkrw:rwp04-09.

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28. Hedging Sudden Stops and Precautionary Contractions. (2003). Panageas, Stavros ; Caballero, Ricardo.
    In: NBER Working Papers.
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29. LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES. (2003). Shephard, Neil ; Sentana, Enrique ; Fiorentini, Gabriele.
    In: Working Papers. Serie AD.
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30. Regime switching and monetary policy measurement. (2003). Ramey, Garey ; Owyang, Michael.
    In: Working Papers.
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31. A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS. (2002). Otranto, Edoardo ; Gallo, Giampiero.
    In: Econometric Reviews.
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32. Likelihood-based estimation of latent generalised ARCH structures. (2002). Shephard, Neil ; Sentana, Enrique ; Fiorentini, Gabriele.
    In: Economics Papers.
    RePEc:nuf:econwp:0219.

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33. Non-linear Modelling of the Australian Business Cycle using a Leading Indicator. (2002). Forbes, Catherine ; Shami, Roland G..
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2002-5.

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34. Regime Switches in GDP Growth and Volatility: Some International Evidence and Implications for Modelling Business Cycles. (2002). Summers, Peter ; Smith, Penelope.
    In: Melbourne Institute Working Paper Series.
    RePEc:iae:iaewps:wp2002n21.

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35. Identifying business cycle turning points in real time. (2002). Piger, Jeremy ; Chauvet, Marcelle.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2002-27.

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36. A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models. (2001). Otranto, Edoardo ; Gallo, Giampiero.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2001_04.

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37. A Cross-Country Study on Okuns Law. (2000). Soegner, Leopold ; Stiassny, Alfred.
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38. The Equity Premium and Structural Breaks. (2000). Stambaugh, Robert ; Pastor, Lubos.
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39. A structural Time Series Model with Markov Switching.. (2000). Forbes, Catherine ; Shami, R. G..
    In: Monash Econometrics and Business Statistics Working Papers.
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40. A Bayesian Inference Approach to Testing Mean Reversion in the Swedish Stock Market. (2000). Graflund, Andreas .
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41. A Preference Regime Model of Bull and Bear Markets. (2000). St-Amour, Pascal ; Gordon, Stephen.
    In: American Economic Review.
    RePEc:aea:aecrev:v:90:y:2000:i:4:p:1019-1033.

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42. A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models. (1999). Nelson, Charles ; Kim, Chang-Jin.
    In: Working Papers.
    RePEc:udb:wpaper:0035.

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43. Permanent and Transitory Nature of Recessions. (1999). Murray, Chris ; Kim, Chang-Jin.
    In: Discussion Papers in Economics at the University of Washington.
    RePEc:fth:washer:0041.

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44. Adaptive polar sampling with an application to a Bayes measure of value-at-risk. (1999). van Dijk, Herman ; Bos, Charles ; Bauwens, Luc.
    In: LIDAM Discussion Papers CORE.
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45. A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models. (1998). Nelson, Charles ; Kim, Chang-Jin.
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46. Combining Panel Data Sets with Attrition and Refreshment Samples. (1998). Ridder, Geert ; Imbens, Guido ; Hirano, Keisuke ; Rubin, Donald B..
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47. Filtering via simulation: auxiliary particle filters. (1997). Shephard, Neil ; Pitt, Michael K.
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48. The Long-Run U.S./U.K. Real Exchange Rate. (1996). Kim, Chang-Jin ; Engel, Charles.
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49. Markov Chain Monte Carlo Simulation Methods in Econometrics. (1994). Chib, Siddhartha ; Greenberg, Edward.
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50. A time series model with periodic stochastic regime switching. (1993). Ghysels, Eric.
    In: Discussion Paper / Institute for Empirical Macroeconomics.
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