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4. Exchange Rate Forecasting, Order Flow and Macroeconomic Information. (2009). Sojli, Elvira ; Sarno, Lucio ; Rime, Dagfinn.
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1. Central bank liquidity and market liquidity: the role of collateral provision on the French government debt securities market.. (2010). Idier, Julien ; Avouyi-Dovi, Sanvi.
   In: Working papers.
   RePEc:bfr:banfra:278.

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2. Identification of speculative bubbles using state-space models with Markov-switching. (2009). Wilfling, Bernd ; Al-Anaswah, Nael .
   In: CQE Working Papers.
   RePEc:cqe:wpaper:0309.

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3. Prior Elicitation in Multiple Change-point Models. (2007). Potter, Simon ; Koop, Gary.
   In: Working Paper series.
   RePEc:rim:rimwps:17_07.

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4. Forecasts of U.S. short-term interest rates: a flexible forecast combination approach. (2007). Guidolin, Massimo ; Timmerman, Allan.
   In: Working Papers.
   RePEc:fip:fedlwp:2005-059.

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5. The Fractional OU Process: Term Structure Theory and Application. (2006). Høg, Esben ; Hoeg, Esben.
   In: Computing in Economics and Finance 2006.
   RePEc:sce:scecfa:194.

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6. Forecasting interest rate swap spreads using domestic and international risk factors: Evidence from linear and non-linear models.. (2006). Panagiotidis, Theodore ; Milas, Costas ; Lekkos, Ilias.
   In: Discussion Paper Series.
   RePEc:lbo:lbowps:2006_6.

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7. MODELING THE EURO OVERNIGHT RATE. (2006). Leon, ngel ; Nave, Juan ; Benito, Francis.
   In: Working Papers. Serie AD.
   RePEc:ivi:wpasad:2006-11.

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8. The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application. (2006). Frederiksen, Per H. ; Hog, Espen P..
   In: Finance Research Group Working Papers.
   RePEc:hhb:aarbfi:2006-01.

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9. Asset allocation under multivariate regime switching. (2006). Guidolin, Massimo ; Timmerman, Allan.
   In: Working Papers.
   RePEc:fip:fedlwp:2005-002.

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10. Non-linear dynamics in the euro area demand for M1. (2006). Zaghini, Andrea ; Calza, Alessandro.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006592.

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11. The Recent Shift in Term Structure Behavior from a No-Arbitrage Macro-Finance Perspective. (2005). Wu, Tao ; Rudebusch, Glenn.
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:3.

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12. Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?. (2005). Wei, Min ; Bekaert, Geert ; Ang, Andrew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11538.

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13. Whats Real About the Business Cycle?. (2005). Hamilton, James.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11161.

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14. On the predictability of common risk factors in the US and UK interest rate swap markets: Evidence from non-linear and linear models.. (2005). Panagiotidis, Theodore ; Milas, Costas ; Lekkos, Ilias.
    In: Discussion Paper Series.
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15. Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portfolios.. (2005). MORANA, CLAUDIO ; Beltratti, Andrea.
    In: ICER Working Papers.
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16. Is There a Unit Root in East-Asian Short-Term Interest Rates?. (2005). Chua, Chew ; Suardi, Sandy.
    In: Melbourne Institute Working Paper Series.
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17. Transition Variables in the Markov-switching Model: Some Small Sample Properties. (2005). Erlandsson, Ulf.
    In: Working Papers.
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18. Optimal portfolio choice under regime switching, skew and kurtosis preferences. (2005). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-006.

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19. An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns. (2005). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
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20. Term structure of risk under alternative econometric specifications. (2005). Guidolin, Massimo ; Timmerman, Allan.
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21. Whats real about the business cycle?. (2005). Hamilton, James.
    In: Review.
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22. The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields. (2005). Valente, Giorgio ; Thornton, Daniel ; Sarno, Lucio.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5259.

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23. The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates. (2005). Valente, Giorgio ; Taylor, Mark ; Sarno, Lucio ; Clarida, Richard.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:4835.

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24. Regime-switching Vector Error Correction Model (VECM) analysis of UK meat consumption. (2004). Kostov, Philip ; Lingard, John.
    In: Econometrics.
    RePEc:wpa:wuwpem:0409007.

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25. Lags in the response of gasoline prices to changes in crude oil. (2004). Radchenko, Stanislav.
    In: Econometrics.
    RePEc:wpa:wuwpem:0406001.

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26. Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility. (2004). MORANA, CLAUDIO ; Beltratti, Andrea.
    In: Working Papers.
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27. Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates. (2004). Tillmann, Peter.
    In: Computing in Economics and Finance 2004.
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28. What Does the Yield Curve Tell us about GDP Growth?. (2004). Wei, Min ; Piazzesi, Monika ; Ang, Andrew ; Piazessi, Monika.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10672.

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29. Regime-dependent synchronization of growth cycles between Japan and East Asia. (2004). girardin, eric.
    In: Money Macro and Finance (MMF) Research Group Conference 2004.
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30. Forecasting Time Series Subject to Multiple Structural Breaks. (2004). Timmermann, Allan ; Pettenuzzo, Davide ; Pesaran, Mohammad.
    In: IZA Discussion Papers.
    RePEc:iza:izadps:dp1196.

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31. Política monetaria y cambios de régimen en los tipos de interés del mercado interbancario español. (2004). Robles Fernandez, M. Dolores.
    In: Investigaciones Economicas.
    RePEc:iec:inveco:v:28:y:2004:i:2:p:349-376.

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32. Forecasting and estimating multiple change-point models with an unknown number of change points. (2004). Potter, Simon ; Koop, Gary.
    In: Staff Reports.
    RePEc:fip:fednsr:196.

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33. The term structure of real rates and expected inflation. (2004). Bekaert, Geert ; Ang, Andrew.
    In: Proceedings.
    RePEc:fip:fedfpr:y:2004:i:mar:x:3.

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34. Regime shifts in a dynamic term structure model of U.S. Treasury bond yields. (2004). Singleton, Kenneth ; Yang, Wei ; Dai, Qiang.
    In: Proceedings.
    RePEc:fip:fedfpr:y:2004:i:mar:x:11.

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35. Cointegration and Regime-Switching Risk Premia in the US Term Structure of Interest Rates. (2004). Tillmann, Peter.
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:26.

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36. STRUCTURAL CHANGE IN THE BRAZILIAN DEMAND FOR IMPORTS: A regime switching approach. (2004). Morais, Igor ; Portugal, M. ; de Morais, I. A..
    In: Econometric Society 2004 Latin American Meetings.
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37. Forecasting Value-at-Risk Using the Markov-Switching ARCH Model. (2004). Gau, Yin-Feng ; Tang, Wei-Ting.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:715.

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38. Modeling Yield-Factor Volatility. (2004). Smith, Daniel ; Parignon, Christophe.
    In: Econometric Society 2004 Australasian Meetings.
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39. On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts. (2004). Spagnolo, Fabio ; Sola, Martin ; Kenc, Turalay ; Driffill, Edward.
    In: CEPR Discussion Papers.
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40. Forecasting Time Series Subject to Multiple Structural Breaks. (2004). Timmermann, Allan ; Pettenuzzo, Davide ; Pesaran, Mohammad.
    In: CESifo Working Paper Series.
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41. ‘Forecasting Time Series Subject to Multiple Structural Breaks’. (2004). Timmermann, Allan ; Pettenuzzo, Davide ; Pesaran, Mohammad.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0433.

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42. Volatility Spillover Effects in European Equity Markets. (2003). Baele, Lieven.
    In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
    RePEc:rug:rugwps:03/189.

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43. Markov Switching Based Nonlinear Tests for Market Efficiency Using the R$/US$ Exchange Rate. (2003). Laurini, Márcio.
    In: Finance Lab Working Papers.
    RePEc:ibm:finlab:flwp_51.

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44. Long Memory int the R$/US$ Exchange Rate: A Robust Analysis. (2003). Laurini, Márcio.
    In: Finance Lab Working Papers.
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45. What does the yield curve tell us about GDP growth?. (2003). Wei, Min ; Piazzesi, Monika ; Ang, Andrew.
    In: Proceedings.
    RePEc:fip:fedfpr:y:2003:i:mar:x:4.

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46. How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?. (2003). Timmermann, Allan ; Pesaran, Mohammad.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_875.

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47. How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?. (2003). Timmermann, Allan ; Pesaran, Mohammad.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0306.

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48. 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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49. A Survey on Interest Rate Forecasting. (1999). Zimmermann, Christian ; Paquet, Alain ; Fauvel, Yvon.
    In: Cahiers de recherche CREFE / CREFE Working Papers.
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50. Beta Regimes for the Yield Curve. (). De Giorgi, Enrico ; Audrino, Francesco.
    In: IEW - Working Papers.
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