This document has not been cited yet.

1. Ang, A., & Bekaert, G. (2002). International asset allocation with regime shifts. Review of Financial Studies, 15, 1137–1187.

2. Baele, L., Bekaert, G., Inghelbrecht, K., & Wei, M. (2019). Flights to safety. The Review of Financial Studies, 33(2), 689–746.
   Paper not yet in RePEc: Add citation now
   
3. Barnard, J., McCulloch, R., & Meng, X.‐L. (2000). Modeling covariance matrices in terms of standard deviations and correlations, with application to shrinkage. Statistica Sinica, 1281–1311.
   Paper not yet in RePEc: Add citation now
   

4. Byrne, S., & Girolami, M. (2013). Geodesic Monte Carlo on embedded manifolds. Scandinavian Journal of Statistics, 40(4), 825–845.

5. Candelon, B., Piplack, J., & Straetmans, S. (2008). On measuring synchronization of bulls and bears: The case of east Asia. Journal of Banking & Finance, 32(6), 1022–1035.

6. Chauvet, M., & Potter, S. (2000). Coincident and leading indicators of the stock market. Journal of Empirical Finance, 7, 87–111.

7. Chen, S.‐S. (2009). Predicting the bear stock market: Macroeconomic variables as leading indicators. Journal of Banking & Finance, 33(2), 211–223.

8. Chib, S. (1996). Calculating posterior distributions and modal estimates in Markov mixture models. Journal of Econometrics, 75(1), 79–97.

9. Geweke, J. (2007). Interpretation and inference in mixture models: Simple MCMC works. Computational Statistics & Data Analysis, 51(7), 3529–3550.

10. Geweke, J., & Amisano, G. (2010). Comparing and evaluating Bayesian predictive distributions of asset returns. International Journal of Forecasting, 26(2), 216–230.

11. Girolami, M., & Calderhead, B. (2011). Riemann manifold Langevin and Hamiltonian Monte Carlo methods. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 73(2), 123–214.

12. Guidolin, M., & Timmermann, A. (2006). An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns. Journal of Applied Econometrics, 21(1), 1–22.

13. Guidolin, M., & Timmermann, A. (2007). Asset allocation under multivariate regime switching. Journal of Economic Dynamics and Control, 31(11), 3503–3544.

14. Haase, F., Neuenkirch, M., et al. (2020). Forecasting stock market recessions in the US: Predictive modeling using different identification approaches. (Technical report): University of Trier, Department of Economics.
    Paper not yet in RePEc: Add citation now
    

15. Hamilton, J. D., & Owyang, M. T. (2012). The propagation of regional recessions. The Review of Economics and Statistics, 94(4), 935–947.

16. Harding, D., & Pagan, A. (2006). Synchronization of cycles. Journal of Econometrics, 132(1), 59–79.

17. Holbrook, A., Lan, S., Vandenberg‐Rodes, A., & Shahbaba, B. (2018). Geodesic lagrangian Monte Carlo over the space of positive definite matrices: With application to Bayesian spectral density estimation. Journal of statistical computation and simulation, 88(5), 982–1002.
    Paper not yet in RePEc: Add citation now
    
18. Jasra, A., Holmes, C. C., & Stephens, D. A. (2005). Markov chain Monte Carlo methods and the label switching problem in Bayesian mixture modeling. Statistical Science, 20(1), 50–67.
    Paper not yet in RePEc: Add citation now
    
19. Kass, R. E., & Raftery, A. E. (1995). Bayes factors. Journal of the american statistical association, 90(430), 773–795.
    Paper not yet in RePEc: Add citation now
    
20. Kaufman, S. (2010). Dating and forecasting turning points by Bayesian clustering with dynamic structure: A suggestion with an application to Austrian data. Journal of Applied Econometrics, 25, 309–344.
    Paper not yet in RePEc: Add citation now
    

21. Kole, E., & Van Dijk, D. (2017). How to identify and forecast bull and bear markets? Journal of Applied Econometrics, 32(1), 120–139.

22. Lunde, A., & Timmermann, A. (2004). Duration dependence in stock prices: An analysis of bull and bear markets. Journal of Business & Economic Statistics, 22(3), 253–273.

23. Maheu, J. M., & McCurdy, T. H. (2000). Identifying bull and bear markets in stock returns. Journal of Business & Economic Statistics, 18(1), 100–112.

24. Maheu, J. M., McCurdy, T. H., & Song, Y. (2012). Components of bull and bear markets: Bull corrections and bear rallies. Journal of Business & Economic Statistics, 30(3), 391–403.

25. Maheu, J. M., McCurdy, T. H., & Song, Y. (2021). Bull and bear markets during the COVID‐19 pandemic. Finance Research Letters, 42, 102091.
    Paper not yet in RePEc: Add citation now
    
26. Marriam‐Webseter (2022). The history of 'bull' and 'bear' markets. https://www.merriam‐webster.com/words‐at‐play/the‐origins‐of‐the‐bear‐and‐bull‐in‐the‐stock‐market. Accessed: 2022‐03‐16.
    Paper not yet in RePEc: Add citation now
    
27. Neal, R. M. (2011). MCMC using Hamiltonian dynamics. Handbook of Markov chain Monte Carlo, 2(11), 2.
    Paper not yet in RePEc: Add citation now
    

28. Paap, R., Segers, R., & van Dijk, D. (2009). Do leading indicators lead peaks more than troughs? Journal of Business & Economic Statistics, 27(4), 528–543.

29. Pagan, A. R., & Sossounov, K. A. (2003). A simple framework for analysing bull and bear markets. Journal of applied econometrics, 18(1), 23–46.

30. Pelletier, D. (2006). Regime switching for dynamic correlations. Journal of Econometrics, 131(1), 445–473.

31. Pesaran, M. H., Pettenuzzo, D., & Timmermann, A. (2006). Forecasting time series subject to multiple structural breaks. The Review of Economic Studies, 73(4), 1057–1084.

32. Song, Y. (2014). Modelling regime switching and structural breaks with an infinite hidden Markov model. Journal of Applied Econometrics, 29(5), 825–842.

33. Tu, J. (2010). Is regime switching in stock returns important in portfolio decisions? Management Science, 56(7), 1198–1215.

34. Turner, C., Startz, R., & Nelson, C. (1989). A Markov model of heteroskedasticity, risk, and learning in the stock market. Journal of Financial Economics, 25, 3–22.

1. Time-varying dependence structure between oil and agricultural commodity markets: A dependence-switching CoVaR copula approach. (2021). Tiwari, Aviral ; Raheem, Ibrahim ; Hille, Erik.
   In: MPRA Paper.
   RePEc:pra:mprapa:106684.

   Full description at Econpapers || Download paper

2. Measuring contagion between energy market and stock market during financial crisis: A copula approach. (2012). Wei, YU ; Wen, Xiaoqian ; Huang, Dengshi.
   In: Energy Economics.
   RePEc:eee:eneeco:v:34:y:2012:i:5:p:1435-1446.

   Full description at Econpapers || Download paper

3. Time-varying performance of international mutual funds. (2012). Turtle, H. J. ; Zhang, Chengping.
   In: Journal of Empirical Finance.
   RePEc:eee:empfin:v:19:y:2012:i:3:p:334-348.

   Full description at Econpapers || Download paper

4. Moments of multivariate regime switching with application to risk-return trade-off. (2012). Taamouti, Abderrahim.
   In: Journal of Empirical Finance.
   RePEc:eee:empfin:v:19:y:2012:i:2:p:292-308.

   Full description at Econpapers || Download paper

5. Contagion in International Stock Markets during the Sub Prime Mortgage Crisis. (2012). Lee, Hsien-Yi.
   In: International Journal of Economics and Financial Issues.
   RePEc:eco:journ1:2012-01-6.

   Full description at Econpapers || Download paper

6. Inflation hedging portfolios in different regimes. (2011). Signori, Ombretta ; Briere, Marie.
   In: BIS Papers chapters.
   RePEc:bis:bisbpc:58-08.

   Full description at Econpapers || Download paper

7. Components of bull and bear markets: bull corrections and bear rallies. (2010). Song, Yong ; McCurdy, Thomas ; Maheu, John.
   In: Working Papers.
   RePEc:tor:tecipa:tecipa-402.

   Full description at Econpapers || Download paper

8. Regime Change and the Role of International Markets on the Stock Returns of Small Open Economies. (2008). Hyde, Stuart ; Bredin, Don.
   In: European Financial Management.
   RePEc:bla:eufman:v:14:y:2008:i:2:p:315-346.

   Full description at Econpapers || Download paper

9. Managing international portfolios with small capitalization stocks. (2007). Nicodano, Giovanna ; Guidolin, Massimo.
   In: Working Papers.
   RePEc:fip:fedlwp:2007-030.

   Full description at Econpapers || Download paper

10. The economic and statistical value of forecast combinations under regime switching: an application to predictable U.S. returns. (2007). Guidolin, Massimo ; Na, Carrie Fangzhou.
    In: Working Papers.
    RePEc:fip:fedlwp:2006-059.

    Full description at Econpapers || Download paper

11. What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model. (2007). Hyde, Stuart ; Guidolin, Massimo.
    In: Working Papers.
    RePEc:fip:fedlwp:2006-029.

    Full description at Econpapers || Download paper

12. Small caps in international equity portfolios: the effects of variance risk. (2007). Nicodano, Giovanna ; Guidolin, Massimo.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-075.

    Full description at Econpapers || Download paper

13. Information processing and measures of integration: New York, London and Tokyo. (2006). Thorp, Susan ; Milunovich, George.
    In: Research Paper Series.
    RePEc:uts:rpaper:177.

    Full description at Econpapers || Download paper

14. Structural versus Temporary Drivers of Country and Industry Risk. (2006). Inghelbrecht, Koen ; Baele, Lieven.
    In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
    RePEc:rug:rugwps:06/413.

    Full description at Econpapers || Download paper

15. Economic and Financial Crises and the Predictability of U.S. Stock Returns. (2006). Pierdzioch, Christian ; Kempa, Bernd ; Hartmann, Daniel.
    In: MPRA Paper.
    RePEc:pra:mprapa:561.

    Full description at Econpapers || Download paper

16. Implied correlation from VaR. (2006). cotter, john ; Longin, Francois .
    In: MPRA Paper.
    RePEc:pra:mprapa:3506.

    Full description at Econpapers || Download paper

17. Assessing Dependence Changes in the Asian Financial Market Returns Using Plots Based on Nonparametric Measures. (2006). Zhang, Xibin ; Silvapulle, Param.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2006-9.

    Full description at Econpapers || Download paper

18. Shift versus traditional contagion in Asian markets. (2006). Panopoulou, Ekaterini ; Flavin, Thomas.
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp176.

    Full description at Econpapers || Download paper

19. International Portfolio Diversification and Market Linkages in the presence of regime-switching volatility. (2006). Panopoulou, Ekaterini ; Flavin, Thomas.
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp167.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

21. Selecting Copulas for Risk Management. (2006). Verbeek, Marno ; Kole, Erik ; Koedijk, Kees.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5652.

    Full description at Econpapers || Download paper

22. Simulating Stock Returns Under Switching Regimes - A New Test of Market Efficiency. (2006). Peel, David ; Minford, A. Patrick ; Meenagh, David.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5614.

    Full description at Econpapers || Download paper

23. Estimating the Correlation of International Equity Markets with Multivariate Extreme and Garch models. (2006). Georgoutsos, Dimitris ; Bekiros, Stelios.
    In: CeNDEF Working Papers.
    RePEc:ams:ndfwpp:06-17.

    Full description at Econpapers || Download paper

24. Structural versus Temporary Drivers of Country and Industry Risk. (2005). Inghelbrecht, Koen ; Baele, Lieven.
    In: International Finance.
    RePEc:wpa:wuwpif:0511005.

    Full description at Econpapers || Download paper

25. Portfolio Selection with Two-Stage Preferences. (2005). Taboga, Marco.
    In: Finance.
    RePEc:wpa:wuwpfi:0506009.

    Full description at Econpapers || Download paper

26. Asymmetric Risk and International Portfolio Choice. (2005). Thorp, Susan ; Milunovich, George.
    In: Research Paper Series.
    RePEc:uts:rpaper:160.

    Full description at Econpapers || Download paper

27. Dynamic bond portfolio choice in a model with Gaussian diffusion regimes. (2005). João Liborio, .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:11:y:2005:i:3:p:259-270.

    Full description at Econpapers || Download paper

28. Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence. (2005). Wohar, Mark ; Rapach, David E..
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:329.

    Full description at Econpapers || Download paper

29. Learning Under Ambiguity. (2005). Schneider, Martin ; Epstein, Larry.
    In: RCER Working Papers.
    RePEc:roc:rocher:497.

    Full description at Econpapers || Download paper

30. Size and value anomalies under regime shifts. (2005). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-007.

    Full description at Econpapers || Download paper

31. Optimal portfolio choice under regime switching, skew and kurtosis preferences. (2005). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-006.

    Full description at Econpapers || Download paper

32. An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns. (2005). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-003.

    Full description at Econpapers || Download paper

33. Density selection and combination under model ambiguity: an application to stock returns. (2005). D'Amico, Stefania.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2005-09.

    Full description at Econpapers || Download paper

34. Measuring comovements by regression quantiles. (2005). Manganelli, Simone ; Cappiello, Lorenzo ; Gerard, Bruno.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2005501.

    Full description at Econpapers || Download paper

35. Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets. (2005). Viceira, Luis ; Chacko, George.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:4913.

    Full description at Econpapers || Download paper

36. Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions with a Study of Commodity Futures Prices. (2005). Sancetta, Alessio ; Nikanrova, Arina.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0516.

    Full description at Econpapers || Download paper

37. Density Estimation and Combination under Model Ambiguity. (2004). D'Amico, Stefania.
    In: Computing in Economics and Finance 2004.
    RePEc:sce:scecf4:273.

    Full description at Econpapers || Download paper

38. International Equity Market Integration in a Small Open Economy: Ireland January 1990 – December 2000. (2004). cotter, john.
    In: MPRA Paper.
    RePEc:pra:mprapa:3538.

    Full description at Econpapers || Download paper

39. The effect of the Euro on country versus industry portfolio diversification. (2004). Flavin, Thomas.
    In: Economics Department Working Paper Series.
    RePEc:may:mayecw:n1411004.

    Full description at Econpapers || Download paper

40. A Two-State Capital Asset Pricing Model with Unobservable States. (2004). Nilsson, Birger ; Hansson, Björn.
    In: Working Papers.
    RePEc:hhs:lunewp:2004_028.

    Full description at Econpapers || Download paper

41. The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles. (2004). Manganelli, Simone ; Cappiello, Lorenzo ; Gerard, Bruno.
    In: Econometric Society 2004 Latin American Meetings.
    RePEc:ecm:latm04:77.

    Full description at Econpapers || Download paper

42. Myopic Loss Aversion, Asymmetric Correlations, and the Home Bias. (2004). Carvalho, Carlos ; Amonlirdviman, Kevin .
    In: Econometric Society 2004 Latin American Meetings.
    RePEc:ecm:latm04:61.

    Full description at Econpapers || Download paper

43. That Courage is not inconsistent with Caution: Foreign Currency Hedging for Superannuation Funds. (2004). Thorp, Susan.
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:148.

    Full description at Econpapers || Download paper

44. Are Vector Autoregressions an Accurate Model for Dynamic Asset Allocation?. (2004). Pearanda, Francisco.
    In: Working Papers.
    RePEc:cmf:wpaper:wp2004_0419.

    Full description at Econpapers || Download paper

45. 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.

    Full description at Econpapers || Download paper

46. How do Regimes Affect Asset Allocation?. (2003). Bekaert, Geert ; Ang, Andrew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10080.

    Full description at Econpapers || Download paper

47. Explaining movements in UK stock prices:. (2003). Sensier, Marianne ; Osborn, Denise ; Aslanidis, Nektarios.
    In: Working Papers.
    RePEc:crt:wpaper:0302.

    Full description at Econpapers || Download paper

48. 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.

    Full description at Econpapers || Download paper

49. 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.

    Full description at Econpapers || Download paper

50. International diversification strategies. (2002). Del Negro, Marco ; Brooks, Robin.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2002-23.

    Full description at Econpapers || Download paper

Report date: 2025-09-25 13:12:10 || Missing content? Let us know