1. Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach. (2023). Javed, Farrukh ; Nguyen, Hoang.
   In: Journal of Empirical Finance.
   RePEc:eee:empfin:v:73:y:2023:i:c:p:272-292.

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2. Financial conditions and macroeconomic downside risks in the euro area. (2022). Lhuissier, Stephane.
   In: European Economic Review.
   RePEc:eee:eecrev:v:143:y:2022:i:c:s0014292122000101.

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3. Likelihood inference for Markov switching GARCH(1,1) models using sequential Monte Carlo. (2022). , William ; Chen, Feng.
   In: Econometrics and Statistics.
   RePEc:eee:ecosta:v:21:y:2022:i:c:p:50-68.

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4. Central moments, stochastic dominance, moment rule, and diversification with an application. (2022). Wong, Wing-Keung ; Guo, XU ; Chow, Sheung-Chi ; Chan, Raymond H.
   In: Chaos, Solitons & Fractals.
   RePEc:eee:chsofr:v:161:y:2022:i:c:s0960077922004611.

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5. A component Markov regime?switching autoregressive conditional range model. (2022). Mazibas, Murat.
   In: Bulletin of Economic Research.
   RePEc:bla:buecrs:v:74:y:2022:i:2:p:650-683.

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6. Financial Conditions and Macroeconomic Downside Risks in the Euro Area. (2022). Lhuissier, Stéphane.
   In: Working papers.
   RePEc:bfr:banfra:863.

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7. Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2022). Massacci, Daniele ; Barigozzi, Matteo.
   In: Papers.
   RePEc:arx:papers:2210.09828.

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8. Higher-order comoments and asset returns: evidence from emerging equity markets. (2021). Vo, Xuan Vinh ; Anh, Thi Tuan.
   In: Annals of Operations Research.
   RePEc:spr:annopr:v:297:y:2021:i:1:d:10.1007_s10479-020-03549-0.

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9. Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach. (2021). Nguyen, Hoang ; Javed, Farrukh.
   In: Working Papers.
   RePEc:hhs:oruesi:2021_015.

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10. Modelling conditional skewness: Heterogeneous beliefs, short sale restrictions and market declines. (2020). Shum, Wai Yan.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300774.

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11. Dynamic Effects of Crude Oil Price Movements: a Sectoral Examination. (2019). Wada, Isah.
    In: Romanian Economic Journal.
    RePEc:rej:journl:v:22:y:2019:i:71:p:17-28.

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12. Housing price–volume correlations and boom–bust cycles. (2017). Lee, Chien-Chiang ; Wang, Chin-Yu ; Zeng, Jhih-Hong.
    In: Empirical Economics.
    RePEc:spr:empeco:v:52:y:2017:i:4:d:10.1007_s00181-016-1101-9.

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13. 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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14. Tail Behavior and Dependence Structure in the APARCH Model. (2017). Krzysztof, Podgorski ; Farrukh, Javed .
    In: Journal of Time Series Econometrics.
    RePEc:bpj:jtsmet:v:9:y:2017:i:2:p:48:n:2.

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15. Time-Varying Transition Probabilities for Markov Regime Switching Models. (2017). Lucas, Andre ; Koopman, Siem Jan ; Blasques, Francisco ; Bazzi, Marco .
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:38:y:2017:i:3:p:458-478.

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16. Conditional interest rate risk and the cross?section of excess stock returns. (2016). Atanasov, Victoria.
    In: Review of Financial Economics.
    RePEc:wly:revfec:v:30:y:2016:i:1:p:23-32.

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17. Predictability of Growth in Emerging Markets: Information in Financial Aggregates. (2016). Banegas, Ayelen.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:1174.

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18. Conditional interest rate risk and the cross-section of excess stock returns. (2016). Atanasov, Victoria .
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:30:y:2016:i:c:p:23-32.

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19. Granger-causality in Markov switching models. (2015). di sanzo, silvestro ; Billio, Monica.
    In: Journal of Applied Statistics.
    RePEc:taf:japsta:v:42:y:2015:i:5:p:956-966.

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20. Moments and Cumulants of a Mixture. (2015). Withers, Christopher S ; Shih, Shou Hsing ; Nadarajah, Saralees.
    In: Methodology and Computing in Applied Probability.
    RePEc:spr:metcap:v:17:y:2015:i:3:d:10.1007_s11009-013-9379-y.

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21. Macroeconomic forecasting during the Great Recession: The return of non-linearity?. (2015). Mogliani, Matteo ; Marcellino, Massimiliano ; Ferrara, Laurent.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:31:y:2015:i:3:p:664-679.

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22. Do stock returns rebound after bear markets? An empirical analysis from five OECD countries. (2015). Bec, Frédérique ; Zeng, Songlin .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:30:y:2015:i:c:p:50-61.

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23. Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction. (2015). Swanson, Norman ; Duong, Diep .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:187:y:2015:i:2:p:606-621.

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24. A bifurcation model of market returns. (2014). Nawrocki, David ; Vaga, Tonis .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:14:y:2014:i:3:p:509-528.

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25. The Influence of Japan’s Unsecured Overnight Call Rate on Bull and Bear Markets and Market Turns. (2014). Shibata, Mai .
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:21:y:2014:i:4:p:331-349.

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26. Flights to Safety. (2014). Inghelbrecht, Koen ; Bekaert, Geert ; Baele, Lieven ; Wei, Min.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2014-46.

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27. Green shoots and double dips in the euro area: A real time measure. (2014). Poncela, Pilar ; Perez Quiros, Gabriel ; Camacho, Maximo.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:30:y:2014:i:3:p:520-535.

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28. Predicting volatility and correlations with Financial Conditions Indexes. (2014). van der Wel, Michel ; van Dijk, Dick ; Opschoor, Anne.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:29:y:2014:i:c:p:435-447.

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29. A two-regime threshold model with conditional skewed Student t distributions for stock returns. (2014). Massacci, Daniele.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:43:y:2014:i:c:p:9-20.

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30. Characterizing very high uncertainty episodes. (2014). Guérin, Pierre ; Bijsterbosch, Martin.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20141637.

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31. Optimal forecasts from Markov switching models. (2014). Pick, Andreas ; Boot, Tom .
    In: DNB Working Papers.
    RePEc:dnb:dnbwpp:452.

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32. Predicting Covariance Matrices with Financial Conditions Indexes. (2013). van der Wel, Michel ; van Dijk, Dick ; Opschoor, Anne.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130113.

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33. Evaluating forecast performances of the quantile autoregression models in the present global crisis in international equity markets. (2013). Xu, Qing ; Childs, Terry .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:23:y:2013:i:2:p:105-117.

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34. Assessing the number of components in a normal mixture: an alternative approach. (2013). Maciejowska, Katarzyna.
    In: MPRA Paper.
    RePEc:pra:mprapa:50303.

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35. Flights to Safety. (2013). Inghelbrecht, Koen ; Bekaert, Geert ; Baele, Lieven ; Wei, Min.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:19095.

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36. An Investigation of the Flight-to-Quality Effect: Evidence from Asia-Pacific Countries. (2013). Chang, Chiu-Lan ; Hsueh, Paul L..
    In: Emerging Markets Finance and Trade.
    RePEc:mes:emfitr:v:49:y:2013:i:s4:p:53-69.

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37. Do Stock Returns Rebound After Bear Markets? An Empirical Analysis From Five OECD Countries. (2013). ZENG, SONGLIN ; Bec, Frédérique.
    In: THEMA Working Papers.
    RePEc:ema:worpap:2013-21.

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38. Characterizing very high uncertainty episodes. (2013). Guérin, Pierre ; Bijsterbosch, Martin ; Guerin, Pierre .
    In: Economics Letters.
    RePEc:eee:ecolet:v:121:y:2013:i:2:p:239-243.

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39. A switching model with flexible threshold variable: With an application to nonlinear dynamics in stock returns. (2013). Massacci, Daniele.
    In: Economics Letters.
    RePEc:eee:ecolet:v:119:y:2013:i:2:p:199-203.

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40. Forecasting Real Estate Prices. (2013). Ghysels, Eric ; Torous, Walter ; Valkanov, Rossen ; Plazzi, Alberto .
    In: Handbook of Economic Forecasting.
    RePEc:eee:ecofch:2-509.

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41. Wealth effects on the housing markets: Do market liquidity and market states matter?. (2013). Lee, Chien-Chiang ; Peng, Chi-Lu ; Chen, Ming-Chi ; Zeng, Jhih-Hong .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:32:y:2013:i:c:p:488-495.

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42. Macroeconomic forecasting during the Great Recession: The return of non-linearity?. (2013). Mogliani, Matteo ; Marcellino, Massimiliano ; Ferrara, Laurent.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9313.

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43. Consumer confidence and stock returns over market fluctuations. (2012). Chen, Shiu-Sheng.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:12:y:2012:i:10:p:1585-1597.

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44. Active PortofolioManagement in the Presence of Regime Switching: What Are the Benefits of Defensive Asset Allocation Strategies If the Investor Faces Bear Markets?. (2012). Grobys, Klaus.
    In: The Review of Finance and Banking.
    RePEc:rfb:journl:v:04:y:2012:i:1:p:015-031.

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45. The impacts of regime-switching structures and fat-tailed characteristics on the relationship between inflation and inflation uncertainty. (2012). Chang, Kuang-Liang.
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:34:y:2012:i:2:p:523-536.

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46. Volatility regimes, asymmetric basis effects and forecasting performance: An empirical investigation of the WTI crude oil futures market. (2012). Chang, Kuang-Liang.
    In: Energy Economics.
    RePEc:eee:eneeco:v:34:y:2012:i:1:p:294-306.

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47. Simple VARs cannot approximate Markov switching asset allocation decisions: An out-of-sample assessment. (2012). Hyde, Stuart ; Guidolin, Massimo.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:56:y:2012:i:11:p:3546-3566.

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48. Green Shoots and Double Dips in the Euro Area. A Real Time Measure. (2012). Poncela, Pilar ; Perez Quiros, Gabriel ; Camacho, Maximo ; Perez-Quiros, Gabriel.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8896.

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49. Modeling and Estimation of Synchronization in Multistate Markov-Switching Models. (2011). van Dijk, Dick ; Paap, Richard ; Çakmaklı, Cem ; Cakmakli, Cem ; Dick J. C. van Dijk, .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20110002.

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50. Regime Changes and Financial Markets. (2011). Timmermann, Allan ; Ang, Andrew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17182.

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51. Likelihood-based scoring rules for comparing density forecasts in tails. (2011). Diks, Cees ; Panchenko, Valentyn ; van Dijk, Dick.
    In: Post-Print.
    RePEc:hal:journl:peer-00834423.

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52. Likelihood-based scoring rules for comparing density forecasts in tails. (2011). van Dijk, Dick ; Panchenko, Valentyn ; Diks, Cees.
    In: Post-Print.
    RePEc:hal:journl:hal-00834423.

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53. Lack of consumer confidence and stock returns. (2011). Chen, Shiu-Sheng.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:2:p:225-236.

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54. Likelihood-based scoring rules for comparing density forecasts in tails. (2011). van Dijk, Dick ; Panchenko, Valentyn ; Diks, Cees.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:163:y:2011:i:2:p:215-230.

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55. Regime Changes and Financial Markets. (2011). Timmermann, Allan ; Ang, Andrew.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8480.

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

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57. Nonlinear effects of oil shocks on stock returns: a Markov-switching approach. (2010). Reboredo, Juan.
    In: Applied Economics.
    RePEc:taf:applec:v:42:y:2010:i:29:p:3735-3744.

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58. Estimation Methods Comparison of SVAR Models with a Mixture of Two Normal Distributions. (2010). Maciejowska, Katarzyna.
    In: Central European Journal of Economic Modelling and Econometrics.
    RePEc:psc:journl:v:2:y:2010:i:4:p:279-314.

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59. Is Regime Switching in Stock Returns Important in Portfolio Decisions?. (2010). Tu, Jun.
    In: Management Science.
    RePEc:inm:ormnsc:v:56:y:2010:i:7:p:1198-1215.

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60. Conditional Coskewness in Stock and Bond Markets: Time-Series Evidence. (2010). Yang, Jian ; Wang, Zijun ; Zhou, Yinggang .
    In: Management Science.
    RePEc:inm:ormnsc:v:56:y:2010:i:11:p:2031-2049.

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61. Can VAR models capture regime shifts in asset returns? a long-horizon strategic asset allocation perspective. (2010). Hyde, Stuart ; Guidolin, Massimo.
    In: Working Papers.
    RePEc:fip:fedlwp:2010-002.

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62. Do higher oil prices push the stock market into bear territory?. (2010). Chen, Shiu-Sheng.
    In: Energy Economics.
    RePEc:eee:eneeco:v:32:y:2010:i:2:p:490-495.

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63. House price dynamics, conditional higher-order moments, and density forecasts. (2010). Chang, Kuang-Liang.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:27:y:2010:i:5:p:1029-1039.

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64. Green shoots in the euro area. A real time measure. (2010). Poncela, Pilar ; Perez Quiros, Gabriel ; Camacho, Maximo ; Perez-Quiros, Gabriel.
    In: Working Papers.
    RePEc:bde:wpaper:1026.

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65. Temporal aggregation of Markov‐switching financial return models. (2009). Cheung, Siu Hung ; Zhang, Lixin ; Chan, Waisum.
    In: Applied Stochastic Models in Business and Industry.
    RePEc:wly:apsmbi:v:25:y:2009:i:3:p:359-383.

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66. Extracting bull and bear markets from stock returns. (2009). Song, Yong ; McCurdy, Tom ; Maheu, John.
    In: Working Papers.
    RePEc:tor:tecipa:tecipa-369.

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67. A Robust Entropy-Based Test of Asymmetry for Discrete and Continuous Processes. (2009). Racine, Jeffrey ; Maasoumi, Esfandiar.
    In: Econometric Reviews.
    RePEc:taf:emetrv:v:28:y:2009:i:1-3:p:246-261.

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68. Time-varying Integration and International diversification strategies. (2009). Inghelbrecht, Koen ; Baele, Lieven.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:3:p:368-387.

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69. Do macroeconomic variables have regime-dependent effects on stock return dynamics? Evidence from the Markov regime switching model. (2009). Chang, Kuang-Liang.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:26:y:2009:i:6:p:1283-1299.

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70. Multivariate regimeswitching GARCH with an application to international stock markets. (2008). Mittnik, Stefan ; Haas, Markus.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200808.

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71. Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails. (2008). van Dijk, Dick ; Panchenko, Valentyn ; Diks, Cees.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20080050.

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72. Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails. (2008). van Dijk, Dick ; Panchenko, Valentyn ; Diks, Cees.
    In: Discussion Papers.
    RePEc:swe:wpaper:2008-10.

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73. Bayesian Estimation of a Markov-Switching Threshold Asymmetric GARCH Model with Student-t Innovations. (2008). Ardia, David.
    In: DQE Working Papers.
    RePEc:fri:dqewps:wp0006.

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74. Nonlinear mean reversion in stock prices. (2008). Levy, Haim ; Bali, Turan G. ; Demirtas, Ozgur K..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:32:y:2008:i:5:p:767-782.

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75. Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails. (2008). van Dijk, Dick ; Panchenko, Valentyn ; Diks, Cees.
    In: CeNDEF Working Papers.
    RePEc:ams:ndfwpp:08-03.

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76. Does Monetary Policy Have Asymmetric Effects on Stock Returns?. (2007). Chen, Shiusheng.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:39:y:2007:i:2-3:p:667-688.

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77. Global regional sources of risk in equity markets: Evidence from factor models with time-varying conditional skewness. (2007). Tay, Anthony S ; Hashmi, Aamir.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:26:y:2007:i:3:p:430-453.

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78. Interpretation and inference in mixture models: Simple MCMC works. (2007). Geweke, John.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:51:y:2007:i:7:p:3529-3550.

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79. BUSINESS CYCLE ASYMMETRIES IN STOCK RETURNS: ROBUST EVIDENCE. (2007). Kiani, Khurshid.
    In: International Journal of Applied Econometrics and Quantitative Studies.
    RePEc:eaa:ijaeqs:v:4:y2007:i:2_6.

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80. Stock returns and inflation in Greece: A Markov switching approach. (2006). Hondroyiannis, George ; Papapetrou, Evangelia.
    In: Review of Financial Economics.
    RePEc:wly:revfec:v:15:y:2006:i:1:p:76-94.

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81. Granger-causality in Markov Switching Models. (2006). di sanzo, silvestro ; Billio, Monica.
    In: Working Papers.
    RePEc:ven:wpaper:2006_20.

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82. Timing and diversification: A state-dependent asset allocation approach. (2006). Hess, Martin.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:12:y:2006:i:3:p:189-204.

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83. 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.

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84. Stock returns and inflation in Greece: A Markov switching approach. (2006). Hondroyiannis, George ; Papapetrou, Evangelia.
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:15:y:2006:i:1:p:76-94.

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85. Stock market dynamics in a regime-switching asymmetric power GARCH model. (2006). Ureche-Rangau, Loredana ; Ane, Thierry .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:15:y:2006:i:2:p:109-129.

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86. Testing for sign and amplitude asymmetries using threshold autoregressions. (2006). Fuertes, Ana-Maria ; Coakley, Jerry.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:30:y:2006:i:4:p:623-654.

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

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88. Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers. (2005). Valente, Giorgio ; Sarno, Lucio.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:20:y:2005:i:3:p:345-376.

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89. Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers. (2005). Valente, Giorgio ; Sarno, Lucio.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:20:y:2005:i:3:p:345-376.

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90. Equilibrium analysis of volatility clustering. (2005). Vanden, Joel M..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:12:y:2005:i:3:p:374-417.

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91. Bank Risk Strategies and Cyclical Variation in Bank Stock Returns. (2004). Vander Vennet, Rudi ; Baele, Lieven ; Landschoot, van A..
    In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
    RePEc:rug:rugwps:04/217.

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92. On more robust estimation of skewness and kurtosis. (2004). White, Halbert ; Kim, Tae-Hwan.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:1:y:2004:i:1:p:56-73.

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93. Global and Regional Sources of Risk in Equity Markets: Evidence from Factor Models with Time-Varying Conditional Skewness. (2004). Tay, Anthony S ; Hashmi, Aamir.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:634.

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94. Evaluation of joint density forecasts of stock and bond returns: predictability and parameter uncertainty. (2003). Pearanda, Francisco .
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:24857.

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95. What drives Markov regime-switching behavior of stock markets? The Swiss case. (2003). Hess, Martin K..
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:12:y:2003:i:5:p:527-543.

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96. News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns. (2003). McCurdy, Tom ; Maheu, John.
    In: CIRANO Working Papers.
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