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Regime switching in stock market returns
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Outgoing claims: the papers this work cites, builds on, or argues with.
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Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP
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The likelihood ratio test under nonstandard conditions: Testing the markov switching model of gnp
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Drawing inferences from statistics based on multiyear asset returns
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A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market
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A Markov model for switching regressions
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Autoregressive conditional heteroskedasticity and changes in regime
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Specification testing in dynamic models
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Permanent and Temporary Components of Stock Prices
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The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
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Expectations and Volatility of Consumption and Asset Returns
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Are Stock Returns Predictable? A Test Using Markov Chains
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Seasonality in Stock Price Mean Reversion: Evidence from the U.S. and the U.K.
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Efficient Capital Markets: II
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Simple Technical Trading Rules and the Stochastic Properties of Stock Returns
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Predictable Stock Returns: The Role of Small Sample Bias
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Testing the Predictive Power of Dividend Yields
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A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
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Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence
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Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models
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Inference in Time Series Regression When the Order of Integration of a Regressor is Unknown
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The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
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Mean Reversion in Stock Prices: Evidence and Implications
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Barrier option pricing under a Markov Regime switching diffusion model
inferred← citeshttps://doi.org/10.1016/j.qref.2024.01.002openalex-snapshot
Economic policy uncertainty as an indicator of abrupt movements in the US stock market
inferred← citeshttps://doi.org/10.1016/j.resourpol.2014.10.002openalex-snapshot
Bull and bear markets in commodity prices and commodity stocks: Is there a relation?
inferred← citeshttps://doi.org/10.1016/j.spl.2009.08.025openalex-snapshot
A note on testing regime switching assumption based on recurrence times
inferred← citeshttps://doi.org/10.1016/s0169-2070(01)00093-0openalex-snapshot
Nonlinearities, cyclical behaviour and predictability in stock markets: international evidence
inferred← citeshttps://doi.org/10.1016/s0370-1573(02)00634-8openalex-snapshot
Critical market crashes
inferred← citeshttps://doi.org/10.1016/s0927-5398(00)00022-0openalex-snapshot
Value-at-Risk: a multivariate switching regime approach
inferred← citeshttps://doi.org/10.1016/s0927-5398(01)00034-2openalex-snapshot
Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?
inferred← citeshttps://doi.org/10.1016/s1062-9769(02)00190-4openalex-snapshot
The nonlinear dynamics of stock prices
inferred← citeshttps://doi.org/10.1017/9781108974899openalex-snapshot
How Novelty and Narratives Drive the Stock Market
inferred← citeshttps://doi.org/10.1017/9781108974899.003openalex-snapshot
NOVELTY, NARRATIVES, AND INSTABILITY
inferred← citeshttps://doi.org/10.1017/9781108974899.004openalex-snapshot
Stock Market Novelty and Narrative Finance
inferred← citeshttps://doi.org/10.1017/9781108974899.006openalex-snapshot
Narratology and Other Disciplines
inferred← citeshttps://doi.org/10.1017/9781108974899.007openalex-snapshot
NEWS ANALYTICS AS A WINDOW INTO STOCK MARKET INSTABILITY
inferred← citeshttps://doi.org/10.1017/9781108974899.008openalex-snapshot
News Analytics: Novelty, Narratives, and Nonroutine Change
inferred← citeshttps://doi.org/10.1017/9781108974899.009openalex-snapshot
The Corporate Knightian Uncertainty Index
inferred← citeshttps://doi.org/10.1017/9781108974899.010openalex-snapshot
KU Sentiment, Novelty, and Relevance
inferred← citeshttps://doi.org/10.1017/9781108974899.011openalex-snapshot
Diversity of Corporate Uncertainty Events
inferred← citeshttps://doi.org/10.1017/9781108974899.013openalex-snapshot
EMPIRICAL EVIDENCE FOR THE NOVELTY-NARRATIVE HYPOTHESIS
inferred← citeshttps://doi.org/10.1017/9781108974899.014openalex-snapshot
Corporate Novelty and Stock Market Outcomes
inferred← citeshttps://doi.org/10.1017/9781108974899.015openalex-snapshot
Narrative Intensity and Stock Market Instability
inferred← citeshttps://doi.org/10.1017/9781108974899.016openalex-snapshot
A Manual Novelty-Narrative Scapegoat Analysis
inferred← citeshttps://doi.org/10.1017/9781108974899.017openalex-snapshot
Applying Novelty and Narratives to Other Research
inferred← citeshttps://doi.org/10.1017/9781108974899.018openalex-snapshot
The Future of Novelty, Narratives, and Uncertainty in Finance
inferred← citeshttps://doi.org/10.1017/9781108974899.019openalex-snapshot
Concluding Thoughts and Future Research
inferred← citeshttps://doi.org/10.1017/9781108974899.020openalex-snapshot
R Code for Bloomberg News Word Cloud and Histogram
inferred← citeshttps://doi.org/10.1017/9781108974899.021openalex-snapshot
The Bloomberg News KU Stock Market Project
inferred← citeshttps://doi.org/10.1017/9781108974899.022openalex-snapshot
RavenPack Terms for Event Output Record
inferred← citeshttps://doi.org/10.1017/9781108974899.023openalex-snapshot
Unscheduled Events from RavenPack
inferred← citeshttps://doi.org/10.1023/a:1024887315531openalex-snapshot
Examining the Volatility of Taiwan Stock Index Returns via a Three-Volatility-Regime Markov-Switching ARCH Model
inferred← citeshttps://doi.org/10.1057/s41294-017-0033-5openalex-snapshot
The Forward-Discount Puzzle in Central and Eastern Europe
inferred← citeshttps://doi.org/10.1080/0003684022000015919openalex-snapshot
Regime-switching properties of the optimal seigniorage hypothesis: the case of Taiwan
inferred← citeshttps://doi.org/10.1080/00036840500217887openalex-snapshot
Are the Australian and New Zealand stock prices nonlinear with a unit root?
inferred← citeshttps://doi.org/10.1080/00036840500438970openalex-snapshot
A bivariate Markov regime switching GARCH approach to estimate time varying minimum variance hedge ratios
inferred← citeshttps://doi.org/10.1080/00036840600592858openalex-snapshot
Evidence of the duration-dependence from the stock markets in the Pacific Rim economies
inferred← citeshttps://doi.org/10.1080/00036840600690066openalex-snapshot
Regime-switching analysis for the impacts of exchange rate volatility on corporate values: a Taiwanese case
inferred← citeshttps://doi.org/10.1080/00036840600970310openalex-snapshot
Nonlinearities in emerging stock markets: evidence from Europe's two largest emerging markets
inferred← citeshttps://doi.org/10.1080/00036846.2015.1109036openalex-snapshot
A joint analysis of market indexes in credit default swap, volatility and stock markets
inferred← citeshttps://doi.org/10.1080/07350015.2012.680412openalex-snapshot
Components of Bull and Bear Markets: Bull Corrections and Bear Rallies
inferred← citeshttps://doi.org/10.1080/09599910500182108openalex-snapshot
Regime switching in yield structures and real estate investment
inferred← citeshttps://doi.org/10.1080/09603100601118292openalex-snapshot
An analysis of the sensitivity of Australian superannuation funds to market movements: a Markov regime switching approach
inferred← citeshttps://doi.org/10.1080/09603100701408155openalex-snapshot
Mergers and acquisitions waves in the UK: a Markov-switching approach
inferred← citeshttps://doi.org/10.1080/09603100801901604openalex-snapshot
What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov Switching model
inferred← citeshttps://doi.org/10.1080/09603100903282622openalex-snapshot
Does the stock market react to unexpected inflation differently across the business cycle?
inferred← citeshttps://doi.org/10.1080/09603107.2011.577010openalex-snapshot
Time variation of CAPM betas across market volatility regimes
inferred← citeshttps://doi.org/10.1080/09603107.2011.610742openalex-snapshot
Business confidence and stock returns in the USA: a time-varying Markov regime-switching model
inferred← citeshttps://doi.org/10.1080/09603107.2011.631891openalex-snapshot
Equity, credit and the business cycle
inferred← citeshttps://doi.org/10.1080/09638199.2015.1090472openalex-snapshot
The structure and sustainability of current account deficit: Turkish evidence from regime switching
inferred← citeshttps://doi.org/10.1080/10168730200000032openalex-snapshot
Non-Linearities, Regime Switching and the Relationship Between Asian Equity and Foreign Exchange Markets*
inferred← citeshttps://doi.org/10.1080/10835547.2005.12089717openalex-snapshot
Regime Changes in International Securitized Property Markets
inferred← citeshttps://doi.org/10.1080/13504850500407210openalex-snapshot
The risk and return characteristics of developed and emerging stock markets: the recent evidence
inferred← citeshttps://doi.org/10.1080/13504850701367254openalex-snapshot
Incorporating a leading indicator into the trading rule through the Markov-switching vector autoregression model
inferred← citeshttps://doi.org/10.1080/13518470500162741openalex-snapshot
Timing and diversification: A state-dependent asset allocation approach
inferred← citeshttps://doi.org/10.1080/13518470802042518openalex-snapshot
A further extension of duration-dependent models
inferred← citeshttps://doi.org/10.1080/1351847x.2014.904240openalex-snapshot
Regime-switching models for exchange rates
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