Add to ORKGThis paper proposes the basic predictive regression and Markov Regime-Switching regression to predict the excess stock returns in both US and Sweden stock markets. The analysis shows that the Markov Regime-Switching regression models out perform the linear ones in out-of-sample forecasting, which is due to the fact that the regime-switching models capture the economic expansion and recession better
Recent decades have seen extensive interest in time-varying parameter models of macroeconomic and fi...
Research Doctorate - Doctor of Philosophy (PhD)This study provides a comprehensive examination of st...
This paper empirically investigates the relationship between real stock returns, inflation, and r...
This paper proposes the basic predictive regression and Markov Regime-Switching regression to predic...
The unpredictable behaviour of financial time series has long been a concern for econometricians, ma...
Advanced emerging markets (AEMs) transitioning into developed markets experience far-reaching econom...
I review the burgeoning literature on applications of Markov regime switching models in empirical fi...
We use monthly observations on general stock price indices, over January 2001–August 2013, in order ...
It has been observed that certain economic and financial variables commonly exhibit switching behavi...
We suggest a Markov regime-switching (MS) Beta-t-EGARCH (exponential generalized autoregressive cond...
This article adopted a Markov-switching dynamic regression (MS-DR) model to estimate appropriate mod...
Following recent non-linear extensions of the present-value model, this paper examines the out-of-sa...
This paper studies the predictive performance and in-sample dynamics of three regime switching model...
Abstract To optimally account for dynamic and nonlinear changes in the stock market return distribut...
We systematically examine the comparative predictive performance of a number of linear and non-linea...
Recent decades have seen extensive interest in time-varying parameter models of macroeconomic and fi...
Research Doctorate - Doctor of Philosophy (PhD)This study provides a comprehensive examination of st...
This paper empirically investigates the relationship between real stock returns, inflation, and r...
This paper proposes the basic predictive regression and Markov Regime-Switching regression to predic...
The unpredictable behaviour of financial time series has long been a concern for econometricians, ma...
Advanced emerging markets (AEMs) transitioning into developed markets experience far-reaching econom...
I review the burgeoning literature on applications of Markov regime switching models in empirical fi...
We use monthly observations on general stock price indices, over January 2001–August 2013, in order ...
It has been observed that certain economic and financial variables commonly exhibit switching behavi...
We suggest a Markov regime-switching (MS) Beta-t-EGARCH (exponential generalized autoregressive cond...
This article adopted a Markov-switching dynamic regression (MS-DR) model to estimate appropriate mod...
Following recent non-linear extensions of the present-value model, this paper examines the out-of-sa...
This paper studies the predictive performance and in-sample dynamics of three regime switching model...
Abstract To optimally account for dynamic and nonlinear changes in the stock market return distribut...
We systematically examine the comparative predictive performance of a number of linear and non-linea...
Recent decades have seen extensive interest in time-varying parameter models of macroeconomic and fi...
Research Doctorate - Doctor of Philosophy (PhD)This study provides a comprehensive examination of st...
This paper empirically investigates the relationship between real stock returns, inflation, and r...