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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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  2. Unraveling the Financial Contagion in European Stock Markets During Financial Crises: Multi-Timescale Analysis. (2018). Masih, Abul ; Dewandaru, Ginanjar.
    In: Emerging Markets Finance and Trade.
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  3. Volatility Spillover in India, USA and Japan Investigation of Recession Effects. (2013). Sinha, Pankaj.
    In: MPRA Paper.
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  4. Markov Switching Models in Empirical Finance. (2011). Guidolin, Massimo.
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  5. Global crises and equity market contagion. (2011). Mehl, Arnaud ; Fratzscher, Marcel ; Ehrmann, Michael ; Bekaert, Geert.
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  6. VOLATILITY AND SPILL OVER EFFECTS IN INDIAN COMMODITY MARKETS: A CASE OF PEPPER. (2011). Kushankur, Dey ; Debasish, Maitra .
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  7. Volatility Spillover in India, USA and Japan Investigation of Recession Effects. (2010). Sinha, Pankaj.
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  8. Decomposing European bond and equity volatility. (2010). Christiansen, Charlotte.
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  11. What Segments Equity Markets?. (2010). Siegel, Stephan ; Lundblad, Christian ; Harvey, Campbell ; Bekaert, Geert.
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  13. Spillovers and correlations between US and major European stock markets: the role of the euro. (2009). Savva, Christos ; Osborn, Denise ; Gill, Len .
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  14. Volatility transmission between Japan, UK and USA in daily stock returns. (2009). Tanizaki, Hisashi ; Hamori, Shigeyuki.
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  15. Effect of 9/11 on the conditional time-varying equity risk premium: evidence from developed markets. (2009). kouki, imen ; Haque, Mahfuzul.
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  19. Correlation dynamics between Asia-Pacific, EU and US stock returns. (2007). Hyde, Stuart ; Bredin, Don ; Nguyen, Nghia.
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  20. Foreign Ownership and Volatility Dynamics of Indonesian Stocks. (2007). Wang, Jianxin.
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  21. Decomposing European Bond and Equity Volatility. (2007). Christiansen, Charlotte.
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  29. Is the International Diversification Potential Diminishing? Foreign Equity Inside and Outside the US. (2006). Lewis, Karen K..
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  30. The Dynamics of Geographic versus Sectoral Diversification: Is There a Link to the Real Economy?. (2006). Sarkissian, Sergei ; Carrieri, Francesca ; Errunza, Vihang.
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  31. International Stock Return Comovements. (2006). zhang, xiaoyan ; Hodrick, Robert ; Bekaert, Geert.
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  32. Structural versus Temporary Drivers of Country and Industry Risk. (2005). Inghelbrecht, Koen ; Baele, Lieven.
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  33. Valuing Volatility Spillovers. (2005). Thorp, Susan ; Milunovich, George.
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  35. International Stock Return Comovements. (2005). zhang, xiaoyan ; Hodrick, Robert ; Bekaert, Geert.
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  36. Volatility, spillover Effects and Correlations in US and Major European Markets. (2005). Savva, Christos ; Osborn, Denise ; Gill, Len .
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    In: Melbourne Institute Working Paper Series.
    RePEc:iae:iaewps:wp2005n14.

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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.
    RePEc:fip:fedlwp:2005-003.

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  20. Term structure of risk under alternative econometric specifications. (2005). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-001.

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  21. Whats real about the business cycle?. (2005). Hamilton, James.
    In: Review.
    RePEc:fip:fedlrv:y:2005:i:jul:p:435-452:n:v.87no.4.

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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.
    RePEc:upo:upopwp:20.

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  27. Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates. (2004). PeterTillmann, .
    In: Computing in Economics and Finance 2004.
    RePEc:sce:scecf4:53.

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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.
    RePEc:mmf:mmfc04:66.

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  30. Forecasting Time Series Subject to Multiple Structural Breaks. (2004). Timmermann, Allan ; Pettenuzzo, Davide ; Pesaran, M.
    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 ; de Morais, I. A. ; Portugal, M..
    In: Econometric Society 2004 Latin American Meetings.
    RePEc:ecm:latm04:346.

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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.
    RePEc:ecm:ausm04:307.

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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.
    RePEc:cpr:ceprdp:4165.

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  40. Forecasting Time Series Subject to Multiple Structural Breaks. (2004). Timmermann, Allan ; Pettenuzzo, Davide ; Pesaran, M.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_1237.

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  41. ‘Forecasting Time Series Subject to Multiple Structural Breaks’. (2004). Timmermann, Allan ; Pettenuzzo, Davide ; Pesaran, M.
    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.
    RePEc:ibm:finlab:flwp_50.

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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, M.
    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, M.
    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..
    In: Working Papers.
    RePEc:bro:econwp:2002-26.

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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.
    RePEc:cre:crefwp:87.

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  50. Beta Regimes for the Yield Curve. (). De Giorgi, Enrico ; Audrino, Francesco.
    In: IEW - Working Papers.
    RePEc:zur:iewwpx:244.

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