1. Asset class liquidity risk indicators. Timing the risk in the European and US equity and bond markets. (2025). Urga, Giovanni ; Varaldo, Alessandro ; Coppola, Anna.
   In: Journal of Financial Stability.
   RePEc:eee:finsta:v:76:y:2025:i:c:s1572308924001542.

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2. Modelling large dimensional datasets with Markov switching factor models. (2025). Barigozzi, Matteo ; Massacci, Daniele.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:247:y:2025:i:c:s0304407624002707.

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3. On the Robustness of Mixture Models in the Presence of Hidden Markov Regimes with Covariate-Dependent Transition Probabilities. (2025). Sola, Martin ; Psaradakis, Zacharias ; Pouzo, Demian.
   In: Papers.
   RePEc:arx:papers:2504.21669.

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4. On the Robustness of Mixture Models in the Presence of Hidden Markov Regimes with Covariate-Dependent Transition Probabilities. (2024). Sola, Martin ; Psaradakis, Zacharias ; Pouzo, Demian.
   In: Department of Economics Working Papers.
   RePEc:udt:wpecon:2024_04.

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5. An Estimation of Regime Switching Models with Nonlinear Endogenous Switching. (2024). Charoensom, Chotipong.
   In: PIER Discussion Papers.
   RePEc:pui:dpaper:217.

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6. On the superior performance of SRI funds. (2024). Ma, Zongming ; Zhao, Yonggan ; Fooladi, Iraj ; Fatemi, Ali.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:93:y:2024:i:pa:p:567-581.

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7. Markov-Switching Models with Unknown Error Distributions: Identification and Inference Within the Bayesian Framework. (2024). Chang-Jin, Kim ; Shih-Tang, Hwu.
   In: Studies in Nonlinear Dynamics & Econometrics.
   RePEc:bpj:sndecm:v:28:y:2024:i:2:p:177-199:n:1.

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8. Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2024). Barigozzi, Matteo ; Massacci, Daniele.
   In: Papers.
   RePEc:arx:papers:2210.09828.

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9. Robust and efficient specification tests in Markov-switching autoregressive models. (2023). Chiba, Masaru.
   In: Statistical Inference for Stochastic Processes.
   RePEc:spr:sistpr:v:26:y:2023:i:1:d:10.1007_s11203-022-09277-5.

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10. Bayesian VARs of the U.S. economy before and during the pandemic. (2023). Sznajderska, Anna ; Haug, Alfred.
    In: Eurasian Economic Review.
    RePEc:spr:eurase:v:13:y:2023:i:2:d:10.1007_s40822-023-00229-9.

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11. Learning and Subjective Expectation Formation: A Recurrent Neural Network Approach. (2023). Hou, Chenyu.
    In: Discussion Papers.
    RePEc:sfu:sfudps:dp23-13.

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12. Asymmetric and Lag Effects of Industry Risk Factors on the Malaysian Oil and Gas Stocks. (2023). Low, Soo-Wah ; Ghazali, Noor Azlan ; Shah, Mohd Azlan ; Hoque, Mohammad Enamul ; Tee, Lain-Tze.
    In: SAGE Open.
    RePEc:sae:sagope:v:13:y:2023:i:3:p:21582440231179444.

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13. Risk preferences, global market conditions and foreign debt: Is there any role for the currency composition of FX reserves?. (2023). Mateane, Lebogang.
    In: Research in Economics.
    RePEc:eee:reecon:v:77:y:2023:i:3:p:402-418.

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14. Dynamic regime differences in the market behavior of primary natural resources in response to geopolitical risk and economic policy uncertainty. (2023). Mugaloglu, Erhan ; Magazzino, Cosimo ; Bilgili, Faik ; Aldieri, Luigi ; Alnour, Mohammed ; Hoque, Mohammad Enamul ; Mualolu, Erhan ; Kukaya, Sevda.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:87:y:2023:i:pb:s0301420723010516.

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15. European option pricing with market frictions, regime switches and model uncertainty. (2023). Siu, Tak Kuen.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:113:y:2023:i:c:p:233-250.

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16. Moments, shocks and spillovers in Markov-switching VAR models. (2023). van Dijk, Dick ; Kole, Erik.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:236:y:2023:i:2:s0304407623001902.

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17. On the relationship between Markov Switching inference and Fuzzy Clustering: A Monte Carlo evidence. (2023). Otranto, Edoardo ; Domianello, Scaffidi L.
    In: Working Paper CRENoS.
    RePEc:cns:cnscwp:202304.

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18. The Demand for Assets: Evidence from the Markov Switching Normalized Quadratic Model. (2022). Serletis, Apostolos ; Xu, Libo.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:54:y:2022:i:4:p:989-1025.

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19. LEARNING ABOUT REGIME CHANGE. (2022). Matthes, Christian ; Foerster, Andrew.
    In: International Economic Review.
    RePEc:wly:iecrev:v:63:y:2022:i:4:p:1829-1859.

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20. Moments, Shocks and Spillovers in Markov-switching VAR Models. (2022). van Dijk, Dick ; Kole, Erik.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20210080.

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21. Regime switching optimal growth model with risk sensitive preferences. (2022). Siu, Tak Kuen ; Rana, Nimit ; Goswami, Anindya.
    In: Journal of Mathematical Economics.
    RePEc:eee:mateco:v:101:y:2022:i:c:s0304406822000490.

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22. Forecasting: theory and practice. (2022). Thomakos, Dimitrios ; Shang, Han Lin ; Sermpinis, Georgios ; Rubaszek, Michał ; Reade, J ; Paccagnini, Alessia ; Martinez, Andrew ; Li, Feng ; Hendry, David ; Guidolin, Massimo ; Grossi, Luigi ; Franses, Philip Hans ; Fiszeder, Piotr ; Clements, Michael ; Castle, Jennifer ; Babai, Mohamed Zied ; Assimakopoulos, Vassilios ; Pedregal, Diego J ; Trapero, Juan Ramon ; Meeran, Sheik ; Koehler, Anne B ; Guseo, Renato ; Gunter, Ulrich ; Barrow, Devon K ; Pavia, Jose M ; de Baets, Shari ; Talagala, Priyanga Dilini ; Januschowski, Tim ; Frazier, David T ; Jeon, Jooyoung ; Hollyman, Ross ; Panagiotelis, Anastasios ; Petropoulos, Fotios ; Gilliland, Michael ; Thorarinsdottir, Thordis ; Boylan, John E ; Winkler, Robert L ; Yusupova, Alisa ; Ziel, Florian ; Pinson, Pierre ; Rapach, David E ; Ellison, Joanne ; Bessa, Ricardo J ; Dokumentov, Alexander ; Cyrino, Fernando Luiz ; Modis, Theodore ; Apiletti, Daniele ; Browell, Jethro ; Goodwin, Paul ; Kang, Yanfei ; Pedio, Manuela ; Kolassa, Stephan ; Carnevale, Claudio ; Ramos, Patricia ; Grushka-Cockayne, Yael ; Todini, Ezio ; Makridakis, Spyros ; Cordeiro, Clara ; Cirillo, Pasquale ; Wang, Xiaoqian ; Spiliotis, Evangelos ; Tashman, Len ; ben Taieb, Souhaib ; Bergmeir, Christoph ; Bijak, Jakub ; Kourentzes, Nikolaos ; Guo, Xiaojia ; Nikolopoulos, Konstantinos ; Leva, Sonia ; Rostami-Tabar, Bahman ; Panapakidis, Ioannis ; Harvey, Nigel ; Richmond, Victor ; Onkal, Dilek ; Litsiou, Konstantia ; Gonul, Sinan M ; Syntetos, Aris A.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:38:y:2022:i:3:p:705-871.

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23. Big Recessions and Slow Recoveries. (2022). Castro-Fernandez, Juan.
    In: Documentos de Trabajo UEC.
    RePEc:col:000139:020128.

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24. Bubbles, Crashes, and Economic Growth: Theory and Evidence. (2022). Jinnai, Ryo ; Hirano, Tomohiro ; Guerron, Pablo ; Guerron-Quintana, Pablo A.
    In: Discussion Papers.
    RePEc:cfm:wpaper:2215.

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25. Cyclical variation in US government spending multipliers. (2022). Lyu, Yifei ; Noh, Eul.
    In: Economic Inquiry.
    RePEc:bla:ecinqu:v:60:y:2022:i:2:p:831-846.

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26. Portfolio Diversification Revisited. (2022). Shaw, Charles.
    In: Papers.
    RePEc:arx:papers:2204.13398.

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27. OLS Estimation of Markov switching VAR models: asymptotics and application to energy use. (2021). Cavicchioli, Maddalena.
    In: AStA Advances in Statistical Analysis.
    RePEc:spr:alstar:v:105:y:2021:i:3:d:10.1007_s10182-020-00383-4.

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28. Geopolitical Uncertainties and Malaysian Stock Market Returns: Do Market Conditions Matter?. (2021). Hassan, M. Kabir ; Shah, Mohd Azlan ; Hoque, Mohammad Enamul.
    In: Mathematics.
    RePEc:gam:jmathe:v:9:y:2021:i:19:p:2393-:d:643380.

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29. A Markov-Switching Model of Inflation in Bolivia. (2021). Bojanic, Antonio.
    In: Economies.
    RePEc:gam:jecomi:v:9:y:2021:i:1:p:37-:d:515285.

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30. The term structure of equity risk premia. (2021). Song, Dongho ; Miller, Shane ; Bansal, Ravi ; Yaron, Amir.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:142:y:2021:i:3:p:1209-1228.

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31. Testing for observation-dependent regime switching in mixture autoregressive models. (2021). Saikkonen, Pentti ; Meitz, Mika.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:222:y:2021:i:1:p:601-624.

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32. Bubbles, Crashes, Ups and Downs in Economic Growth Theory and Evidence. (2021). Jinnai, Ryo ; Guerron, Pablo ; Hirano, Tomohiro ; Guerron-Quintana, Pablo A.
    In: CIGS Working Paper Series.
    RePEc:cnn:wpaper:21-006e.

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33. Bubbles, Crashes, and Ups and Downs in Economic Growth: Theory and Evidence. (2021). Jinnai, Ryo ; Hirano, Tomohiro ; Guerron, Pablo ; Guerron-Quintana, Pablo A.
    In: Discussion Papers.
    RePEc:cfm:wpaper:2119.

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34. Regime Switching Optimal Growth Model with Risk Sensitive Preferences. (2021). Siu, Tak Kuen ; Rana, Nimit ; Goswami, Anindya.
    In: Papers.
    RePEc:arx:papers:2110.15025.

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35. Estimating high-dimensional Markov-switching VARs. (2021). Maung, Kenwin.
    In: Papers.
    RePEc:arx:papers:2107.12552.

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36. Markov switching in exchange rate models: will more regimes help?. (2020). Stillwagon, Josh ; Sullivan, Peter.
    In: Empirical Economics.
    RePEc:spr:empeco:v:59:y:2020:i:1:d:10.1007_s00181-019-01623-6.

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37. Uncertainty Shocks and Business Cycle Research. (2020). Guerron, Pablo ; Fernandez-Villaverde, Jesus ; Guerron-Quintana, Pablo.
    In: Review of Economic Dynamics.
    RePEc:red:issued:20-250.

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38. Uncertainty Shocks and Business Cycle Research. (2020). Guerron, Pablo ; Fernandez-Villaverde, Jesus ; Guerron-Quintana, Pablo A.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:26768.

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39. A General and Efficient Method for Solving Regime-Switching DSGE Models. (2020). Moyen, Stéphane ; Albertini, Julien.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-03067554.

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40. A General and Efficient Method for Solving Regime-Switching DSGE Models. (2020). Moyen, Stéphane ; Albertini, Julien.
    In: Working Papers.
    RePEc:gat:wpaper:2035.

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41. The Effects of Oil and Gas Risk Factors on Malaysian Oil and Gas Stock Returns: Do They Vary?. (2020). Low, Soo-Wah ; Shah, Mohd Azlan ; Hoque, Mohammad Enamul.
    In: Energies.
    RePEc:gam:jeners:v:13:y:2020:i:15:p:3901-:d:392498.

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42. Short- and long-run asymmetric effect of oil prices and oil and gas revenues on the real GDP and economic diversification in oil-dependent economy. (2020). Charfeddine, Lanouar ; Barkat, Karim.
    In: Energy Economics.
    RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988320300190.

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43. Uncertainty Shocks and Business Cycle Research. (2020). Fernandez-Villaverde, Jesus.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:14398.

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44. Recurrent Bubbles and Economic Growth. (2020). Jinnai, Ryo ; Guerron, Pablo ; Hirano, Tomohiro ; Guerron-Quintana, Pablo A.
    In: CIGS Working Paper Series.
    RePEc:cnn:wpaper:20-005e.

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45. Recurrent Bubbles and Economic Growth. (2020). Jinnai, Ryo ; Hirano, Tomohiro ; Guerron, Pablo ; Guerron-Quintana, Pablo.
    In: Discussion Papers.
    RePEc:cfm:wpaper:2012.

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46. HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS. (2019). Siu, Tak Kuen ; Elliott, Robert J.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:22:y:2019:i:08:n:s021902491950047x.

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47. Regime-Switching And Levy Jump Dynamics In Option-Adjusted Spreads. (2019). Shaw, Charles.
    In: MPRA Paper.
    RePEc:pra:mprapa:94154.

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48. The January effect in the foreign exchange market: Evidence for seasonal equity carry trades. (2019). girardin, eric ; Namin, Fatemeh Salimi.
    In: Post-Print.
    RePEc:hal:journl:hal-02314156.

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49. Asymptotic properties of the maximum likelihood estimator in regime switching econometric models. (2019). Kasahara, Hiroyuki ; Shimotsu, Katsumi.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:208:y:2019:i:2:p:442-467.

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50. The January effect in the foreign exchange market: Evidence for seasonal equity carry trades. (2019). Salimi Namin, Fatemeh ; girardin, eric.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:81:y:2019:i:c:p:422-439.

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51. Time–varying rational expectations models. (2019). Neusser, Klaus.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:107:y:2019:i:c:3.

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52. Recurrent Bubbles and Economic Growth. (2019). Jinnai, Ryo ; Guerron, Pablo ; Hirano, Tomohiro ; Guerron-Quintana, Pablo A.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf457.

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53. Are Euro-Area expectations about recession phases effective to anticipate consequences of economic crises?. (2018). Rubilar-González, Marco Antonio ; Pino, Gabriel ; Rubilar-Gonzalez, Marco.
    In: SERIEs: Journal of the Spanish Economic Association.
    RePEc:spr:series:v:9:y:2018:i:2:d:10.1007_s13209-017-0170-0.

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54. Temporal clustering of time series via threshold autoregressive models: application to commodity prices. (2018). Aslan, Sipan ; Yozgatligil, Ceylan ; Iyigun, Cem.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:260:y:2018:i:1:d:10.1007_s10479-017-2659-0.

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55. Calibrating Macroprudential Policy to Forecasts of Financial Stability. (2018). Lopez, Jose ; Brave, Scott.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2017-17.

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56. Nonlinearities, smoothing and countercyclical monetary policy. (2018). Soques, Daniel ; Owyang, Michael ; Jackson Young, Laura.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:95:y:2018:i:c:p:136-154.

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57. A hidden Markov regime-switching smooth transition model. (2018). Siu, Tak Kuen ; Kuen, Siu Tak ; John, Lau ; Robert, Elliott.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:22:y:2018:i:4:p:21:n:2.

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58. Business Cycle Dating after the Great Moderation: A Consistent Two – Stage Maximum Likelihood Method. (2017). Mbara, Gilbert.
    In: Working Papers.
    RePEc:war:wpaper:2017-13.

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59. Identification-robust moment-based tests for Markov switching in autoregressive models. (2017). Luger, Richard ; Dufour, Jean-Marie.
    In: Econometric Reviews.
    RePEc:taf:emetrv:v:36:y:2017:i:6-9:p:713-727.

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60. Foreword – The crisis, ten years after: Lessons learnt for monetary and financial research. (2017). Mendicino, Caterina ; Coeure, Benoit ; Beyer, Andreas.
    In: Économie et Statistique.
    RePEc:prs:ecstat:estat_0336-1454_2017_num_494_1_10781.

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61. Exchange rates of oil exporting countries and global oil price shocks: A nonlinear smooth-transition approach. (2017). Haug, Alfred ; Basher, Syed.
    In: MPRA Paper.
    RePEc:pra:mprapa:83205.

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62. The impact of oil-market shocks on stock returns in major oil-exporting countries: A Markov-switching approach. (2017). Haug, Alfred ; Basher, Syed ; Sadorsky, Perry.
    In: MPRA Paper.
    RePEc:pra:mprapa:81638.

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63. The impact of oil-market shocks on stock returns in major oil-exporting countries: A Markov-switching approach. (2017). Haug, Alfred ; Basher, Syed ; Sadorsky, Perry.
    In: Working Papers.
    RePEc:otg:wpaper:1710.

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64. Foreword – The crisis, ten years after: Lessons learnt for monetary and financial research. (2017). Mendicino, Caterina ; Coeuré, Benoit ; Beyer, Andreas ; Coeure, Benoit.
    In: Economie et Statistique / Economics and Statistics.
    RePEc:nse:ecosta:ecostat_2017_494-495-496_4.

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65. Identification-robust moment-based tests for Markov-switching in autoregressive models. (2017). Luger, Richard ; Dufour, Jean-Marie.
    In: Cahiers de recherche.
    RePEc:lvl:crrecr:1701.

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66. Identification-Robust Moment-Based Tests for Markov-Switching in Autoregressive Models. (2016). Luger, Richard ; Dufour, Jean-Marie.
    In: Cahiers de recherche.
    RePEc:mtl:montec:15-2016.

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67. Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics. (2016). Watson, M W ; Stock, J H.
    In: Handbook of Macroeconomics.
    RePEc:eee:macchp:v2-415.

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68. Identification-robust moment-based tests for Markov-switching in autoregressive models. (2016). Luger, Richard ; Dufour, Jean-Marie.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2016s-63.

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69. The Credibility of Hong Kongs Currency Board System: Looking Through the Prism of MS-VAR Models with Time-Varying Transition Probabilities. (2016). Funke, Michael ; Blagov, Boris.
    In: Oxford Bulletin of Economics and Statistics.
    RePEc:bla:obuest:v:78:y:2016:i:6:p:895-914.

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