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1. Long memory and regime switching in the stochastic volatility modelling. (2023). Shi, Yanlin.
   In: Annals of Operations Research.
   RePEc:spr:annopr:v:320:y:2023:i:2:d:10.1007_s10479-020-03841-z.

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2. How Vulnerable is the Turkish Stock Market to the Credit Default Swap? Evidence from the Markov Switching GARCH Model. (2023). Karagol, Veysel.
   In: Istanbul Journal of Economics-Istanbul Iktisat Dergisi.
   RePEc:ist:journl:v:73:y:2023:i:1:p:513-531.

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3. Nonlinear relationship between monetary policy and stock returns: Evidence from the U.S.. (2023). Chauvet, Marcelle ; Jiang, Cheng.
   In: Global Finance Journal.
   RePEc:eee:glofin:v:55:y:2023:i:c:s1044028322000989.

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4. What have we learnt from modelling stock returns in Nigeria: Higgledy-piggledy?. (2021). ALIYU, Shehu ; Rano, Shehu Usman.
   In: MPRA Paper.
   RePEc:pra:mprapa:110382.

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5. The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets. (2021). Yarovaya, Larisa ; Matkovskyy, Roman ; Jalan, Akanksha.
   In: Journal of International Financial Markets, Institutions and Money.
   RePEc:eee:intfin:v:75:y:2021:i:c:s1042443121000408.

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6. Portfolio Construction Using Stratified Models. (2021). Boyd, Stephen ; Barratt, Shane ; Tuck, Jonathan.
   In: Papers.
   RePEc:arx:papers:2101.04113.

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7. Crisis Risk Prediction with Concavity from Polymodel. (2020). Douady, Raphael ; Kuang, Yao.
   In: Working Papers.
   RePEc:hal:wpaper:hal-03018481.

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8. Crisis Risk Prediction with Concavity from Polymodel. (2020). Douady, Raphael ; Kuang, Yao.
   In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
   RePEc:hal:cesptp:hal-03018481.

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9. 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. (2020). Ji, Qiang ; GUPTA, RANGAN ; Cuñado, Juncal ; Cunado, Juncal ; Liu, Bing-Yue.
   In: The North American Journal of Economics and Finance.
   RePEc:eee:ecofin:v:51:y:2020:i:c:s106294081830319x.

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10. Are Carbon Leader Indexes Related with Carbon Prices under Different Regimes?. (2020). Okay, Gulu ; Koy, Ayben.
    In: International Journal of Energy Economics and Policy.
    RePEc:eco:journ2:2020-04-16.

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11. Machine Learning Algorithms for Financial Asset Price Forecasting. (2020). Ndikum, Philip.
    In: Papers.
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12. Investigating risk contagion initiated by endogenous liquidity shocks: evidence from the US and eurozone interbank markets. (2019). Urquhart, Andrew ; Eross, Andrea ; Wolfe, Simon.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:25:y:2019:i:1:p:35-53.

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13. Le modèle autorégressif autorégressif à seuil avec effet rebond : Une application aux rendements boursiers français et américains *. (2019). De Gaye, Annabelle ; Bec, Frédérique.
    In: Working Papers.
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14. A regime switching skew-normal model of contagion. (2019). Hsiao, Cody Yu-Ling ; Fry-McKibbin, Renee ; Chan, Joshua ; Yu-Ling, Hsiao Cody ; Renee, Fry-Mckibbin.
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15. Economic regimes and stock market performance in Nigeria: Evidence from regime switching model. (2018). ALIYU, Shehu ; Rano, Shehu Usman ; Aminu, Abubakar Wambai.
    In: MPRA Paper.
    RePEc:pra:mprapa:91430.

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16. Modelling Nonlinear Dynamics of Oil Futures Market. (2017). Koy, Ayben.
    In: Econometric Research in Finance.
    RePEc:sgh:erfinj:v:2:y:2017:i:1:p:23-42.

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17. 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. (2017). Liu, BingYue ; Ji, Qiang ; GUPTA, RANGAN ; Cunado, Juncal.
    In: Working Papers.
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18. The impact of monetary policy on corporate bonds under regime shifts. (2017). Pedio, Manuela ; Guidolin, Massimo ; Orlov, Alexei G.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:80:y:2017:i:c:p:176-202.

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19. Asset prices regime-switching and the role of inflation targeting monetary policy. (2017). Floros, Christos ; Filis, George ; Chatziantoniou, Ioannis.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:32:y:2017:i:c:p:97-112.

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20. Regime-switching based vehicle-to-building operation against electricity price spikes. (2017). Li, Yaoyu ; Zhang, Lei.
    In: Energy Economics.
    RePEc:eee:eneeco:v:66:y:2017:i:c:p:1-8.

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21. Public information arrival and stock return volatility: Evidence from news sentiment and Markov Regime-Switching Approach. (2016). Shi, Yanlin ; Liu, Wai-Man ; Ho, Kin-Yip.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:42:y:2016:i:c:p:291-312.

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22. Volatility transmission across currencies and commodities with US uncertainty measures. (2016). Otranto, Edoardo ; Khalifa, Ahmed ; Hammoudeh, Shawkat ; Ramchander, Sanjay.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:37:y:2016:i:c:p:63-83.

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23. Skewness and kurtosis of multivariate Markov-switching processes. (2016). Rossi, Alessandro ; Planas, Christophe ; Fiorentini, Gabriele.
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    RePEc:eee:csdana:v:100:y:2016:i:c:p:153-159.

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24. Do Regimes in Excess Stock Return Predictability Create Economic Value? An Out-of-Sample Portfolio Analysis. (2016). Pedio, Manuela ; Guidolin, Massimo ; Pra, Giulia Dal ; Vasile, Fabiola .
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25. On the Dynamic Dependence between US and other Developed Stock Markets: An Extreme-value Time-varying Copula Approach. (2015). Sghaier, Nadia ; Boubaker, Heni.
    In: Bankers, Markets & Investors.
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26. Asset prices regime-switching and the role of inflation targeting monetary policy. (2015). Floros, Christos ; Filis, George ; Chatziantoniou, Ioannis.
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    RePEc:pra:mprapa:68666.

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27. Adaptive Execution: Exploration and Learning of Price Impact. (2015). Park, Beomsoo ; van Roy, Benjamin.
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28. The Impact of Monetary Policy on Corporate Bonds under Regime Shifts. (2015). Pedio, Manuela ; Guidolin, Massimo ; Orlov, Alexei G.
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29. Do stock returns rebound after bear markets? An empirical analysis from five OECD countries. (2015). Bec, Frédérique ; Zeng, Songlin.
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30. Modelling stock return volatility dynamics in selected African markets. (2015). Botha, Ferdi ; King, Daniel.
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31. Markov Regime Switching Generalized Autoregressive Conditional Heteroskedastic Model and Volatility Modeling for Oil Returns. (2015). Gunay, Samet.
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    RePEc:eco:journ2:2015-04-09.

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32. Time-varying Industrial Portfolio Betas under the Regime-switching Model:Evidence from the Stock Exchange of Thailand. (2015). Prukumpai, Suthawan.
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33. Time-varying Industrial Portfolio Betas under the Regime-switching Model: Evidence from the Stock Exchange of Thailand. (2015). Prukumpai, Suthawan.
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34. THE NUMBER OF REGIMES ACROSS ASSET RETURNS: IDENTIFICATION AND ECONOMIC VALUE. (2014). Ielpo, Florian ; Gatumel, Mathieu.
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35. On the Market Selection Hypothesis in a Mean Reverting Environment. (2014). Casna, Marco ; Barucci, Emilio.
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36. The sensitivity of Fama-French factors to economic uncertainty. (2014). Moussa, Zakaria ; Darné, Olivier ; CHARLES, Amelie ; Darne, Olivier.
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37. Are regime-shift sources of risk priced in the market?. (2014). Tzavalis, Elias ; Dendramis, Yiannis ; Chourdakis, Kyriakos.
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38. Extracting portfolio management strategies from volatility transmission models in regime-changing environments: Evidence from GCC and global markets. (2014). Otranto, Edoardo ; Khalifa, Ahmed ; Hammoudeh, Shawkat ; Khalifa, Ahmed A. A., .
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39. Understanding the Impact of Monetary Policy Shocks on the Corporate Bond Market in Good and Bad Times: A Markov Switching Model. (2014). Pedio, Manuela ; Guidolin, Massimo ; Orlov, Alexei G.
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40. A Regime Switching Skew-normal Model for Measuring Financial Crisis and Contagion. (2013). Hsiao, Cody Yu-Ling ; Fry-McKibbin, Renee ; Chan, Joshua ; Joshua C. C. Chan, .
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41. Liquidity risk of corporate bond returns: conditional approach. (2013). Amihud, Yakov ; Acharya, Viral ; BHARATH, SREEDHAR T..
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42. Predicting bear and bull stock markets with dynamic binary time series models. (2013). Nyberg, Henri.
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43. How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches. (2013). Zhang, Zhaoyong ; Shi, Yanlin ; Ho, Kin-Yip.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:26:y:2013:i:c:p:436-456.

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44. Forging Best Practices in Risk Management. (2012). Glasserman, Paul ; Flannery, Mark J. ; David K. A. Mordecai, ; Rossi, Cliff .
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45. Tail Risk in Momentum Strategy Returns. (2012). Jagannathan, Ravi ; Daniel, Kent ; Kim, Soohun.
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46. Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective. (2012). Hyde, Stuart ; Guidolin, Massimo.
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47. The Number of Regimes Across Asset Returns: Identification and Economic Value. (2011). Gatumel, Mathieu ; Ielpo, Florian.
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48. The Number of Regimes Across Asset Returns: Identification and Economic Value. (2011). Ielpo, Florian ; Gatumel, Mathieu.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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49. Credit and liquidity risks in euro area sovereign yield curves. (2011). Renne, Jean-Paul ; Monfort, Alain ; Renne, J-P., .
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50. Bayesian Learning in UnstableSettings: Experimental Evidence Based on the Bandit Problem. (2010). Payzan-LeNestour, Elise ; LE NESTOUR, lise PAYZAN .
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