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Moments of Markov switching models. (2000). Timmermann, Allan.
In: Journal of Econometrics.
RePEc:eee:econom:v:96:y:2000:i:1:p:75-111.

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  7. Moments, shocks and spillovers in Markov-switching VAR models. (2023). Kole, Erik ; van Dijk, Dick.
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  17. Financial conditions and macroeconomic downside risks in the euro area. (2022). Lhuissier, Stephane.
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  20. Do investors gain from forecasting the asymmetric return co?movements of financial and real assets?. (2021). Power, Gabriel J ; Poshakwale, Sunil S ; Mandal, Anandadeep.
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  21. A new look at carbon dioxide emissions in MENA countries. (2021). Ben Cheikh, Nidhaleddine ; ben Zaied, Younes .
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  22. Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets. (2021). Tedongap, Romeo ; Augustin, Patrick.
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    RePEc:inm:ormnsc:v:67:y:2021:i:10:p:6266-6293.

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  23. Detection of Structural Regimes and Analyzing the Impact of Crude Oil Market on Canadian Stock Market: Markov Regime-Switching Approach. (2021). Ghaneei, Hana ; Mahmoudi, Mohammad Reza.
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  25. On the Stationarity of Futures Hedge Ratios. (2020). Degiannakis, Stavros ; Vougas, Dimitrios ; Salvador, Enrique ; Floros, Christos.
    In: MPRA Paper.
    RePEc:pra:mprapa:102907.

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  26. Exploring the Predictability of Cryptocurrencies via Bayesian Hidden Markov Models. (2020). Leonardos, Stefanos ; Koki, Constandina ; Piliouras, Georgios.
    In: Papers.
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  27. Option Pricing Under a Discrete-Time Markov Switching Stochastic Volatility with Co-Jump Model. (2020). Li, Bingqing ; Fu, Michael C ; Zhang, Tianqi ; Wu, Rongwen .
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  31. Risk Measurement. (2019). Hassani, Bertrand K ; Guegan, Dominique.
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  32. Some Dynamic and Steady-State Properties of Threshold Auto-Regressions with Applications to Stationarity and Local Explosivity. (2019). Satchell, Stephen ; Ahmed, Muhammad Farid.
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  33. Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models?. (2019). He, Ling-Yun ; Ripple, Ronald ; Yao, Ting ; Zhang, Yue-Jun.
    In: International Review of Economics & Finance.
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  34. Harmful diversification: Evidence from alternative investments. (2019). Sutcliffe, Charles ; Sakkas, Athanasios ; Platanakis, Emmanouil.
    In: The British Accounting Review.
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  35. Regime-Dependent Effects on Stock Market Return Dynamics: Evidence from SAARC Countries. (2019). Mustafa, Khalid ; Ahmed, Zobia Israr.
    In: Asian Development Policy Review.
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  36. Dependence of credit spread and macro-conditions based on an alterable structure model. (2018). Zhou, Xiangyun ; Xiao, Zhuang ; Tian, Yixiang ; Xie, Yun.
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  37. Another Look at Large-Cap Stock Return Comovement: A Semi-Markov-Switching Approach. (2018). Deng, Kaihua.
    In: Computational Economics.
    RePEc:kap:compec:v:51:y:2018:i:2:d:10.1007_s10614-016-9596-x.

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  38. The impact of oil-market shocks on stock returns in major oil-exporting countries. (2018). Haug, Alfred ; Basher, Syed ; Sadorsky, Perry.
    In: Journal of International Money and Finance.
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  39. Conditional co-skewness and safe-haven currencies: A regime switching approach. (2018). Chan, Kalok ; Zhou, Yinggang ; Yang, Jian.
    In: Journal of Empirical Finance.
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    In: Econometrics and Statistics.
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  41. Pockets of Predictability. (2018). Farmer, Leland ; Timmermann, Allan G ; Schmidt, Lawrence .
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  42. Identification-robust moment-based tests for Markov switching in autoregressive models. (2017). Luger, Richard ; Dufour, Jean-Marie.
    In: Econometric Reviews.
    RePEc:taf:emetrv:v:36:y:2017:i:6-9:p:713-727.

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  43. Behavioral heterogeneity in the Australian housing market. (2017). Chia, Wai-Mun ; Zheng, Huanhuan ; Li, Mengling .
    In: Applied Economics.
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  44. Harmful Diversification: Evidence from Alternative Investments. (2017). Sutcliffe, Charles ; Sakkas, Athanasios ; Platanakis, Emmanouil.
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2017-09.

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  45. Should Portfolio Model Inputs Be Estimated Using One or Two Economic Regimes?. (2017). Sutcliffe, Charles ; Sakkas, Athanasios ; Platanakis, Emmanouil.
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2017-07.

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  46. Identification-robust moment-based tests for Markov-switching in autoregressive models. (2017). Luger, Richard ; Dufour, Jean-Marie.
    In: Cahiers de recherche.
    RePEc:lvl:crrecr:1701.

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  47. A new approach to model regime switching. (2017). Chang, Yoosoon ; Park, Joon Y ; Choi, Yongok .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:196:y:2017:i:1:p:127-143.

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  48. Identification-Robust Moment-Based Tests for Markov-Switching in Autoregressive Models. (2016). Luger, Richard ; Dufour, Jean-Marie.
    In: Cahiers de recherche.
    RePEc:mtl:montec:15-2016.

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    In: Handbook of Macroeconomics.
    RePEc:eee:macchp:v2-163.

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  50. A test of asymmetric comovement for state-dependent stock returns. (2016). Deng, Kaihua.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:36:y:2016:i:c:p:68-85.

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  51. Methods for measuring expectations and uncertainty in Markov-switching models. (2016). Bianchi, Francesco.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:190:y:2016:i:1:p:79-99.

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  52. Empirical analysis of stock indices under a regime-switching model with dependent jump size risks. (2016). Hsu, Yuan-Lin ; Huang, Tzu-Hui ; Hung, Ming-Chin ; Lin, Shih-Kuei.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:54:y:2016:i:c:p:260-275.

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  53. Skewness and kurtosis of multivariate Markov-switching processes. (2016). Rossi, Alessandro ; Planas, Christophe ; Fiorentini, Gabriele.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:100:y:2016:i:c:p:153-159.

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  54. Identification-robust moment-based tests for Markov-switching in autoregressive models. (2016). Luger, Richard ; Dufour, Jean-Marie.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2016s-63.

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  55. Filterbased Stochastic Volatility in Continuous-Time Hidden Markov Models. (2016). Krishnamurthy, Vikram ; Sass, Jorn ; Leoff, Elisabeth .
    In: Papers.
    RePEc:arx:papers:1602.05323.

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  56. 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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  57. Bad environments, good environments: A non-Gaussian asymmetric volatility model. (2015). Bekaert, Geert ; Ermolov, Andrey ; Engstrom, Eric.
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  58. Power Attrition of Asymmetric Tail Comovement Test. (2015). Deng, Kaihua.
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  59. Safe haven currencies: a portfolio perspective. (2015). Cenedese, Gino.
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  60. Forecasting crude oil market volatility: can the Regime Switching GARCH model beat the single-regime GARCH models?. (2015). Zhang, Yue-Jun ; He, Ling-Yun ; Yao, Ting.
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  61. Time-varying Industrial Portfolio Betas under the Regime-switching Model: Evidence from the Stock Exchange of Thailand. (2015). Prukumpai, Suthawan .
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  62. The change of correlation structure across industries:an analysis in the regime-switching framework. (2014). Wakai, Katsutoshi ; Shigeta, Yuki ; Egami, Masahiko.
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  63. Forecasting market turbulence using regime-switching models. (2014). Hauptmann, Johannes ; Ramsauer, Franz ; Hoppenkamps, Anja ; Min, Aleksey ; Zagst, Rudi.
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  64. Extreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets. (2014). Liu, Lu.
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    RePEc:eee:finana:v:33:y:2014:i:c:p:39-48.

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  65. Are regime-shift sources of risk priced in the market?. (2014). Tzavalis, Elias ; Dendramis, Yiannis ; Chourdakis, Kyriakos.
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  66. A recursive formula for a participating contract embedding a surrender option under regime-switching model with jump risks: Evidence from stock indices. (2014). Chou, Chia-Yu ; Lin, Shih-Kuei ; Chuang, Ming-Che.
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  67. Higher moments of MSVARs and the business cycle. (2014). Isaac, Alexander Karalis .
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  69. The conditional performance of US mutual funds over different market regimes: do different types of ethical screens matter?. (2013). Silva, Florinda ; Areal, Nelson ; Cortez, Maria .
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  70. How to Identify and Forecast Bull and Bear Markets?. (2013). van Dijk, Dick ; Kole, Erik ; Kole, H. J. W. G., ; van Dijk, D. J. C., .
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  72. Money growth and inflation: A regime switching approach. (2013). Fagan, Gabriel ; amisano, gianni.
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  73. Methods for Measuring Expectations and Uncertainty in Markov-Switching Models. (2013). Bianchi, Francesco.
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  74. Market Cycles and the Performance of Relative Strength Strategies. (2013). Stivers, Chris ; Sun, Licheng.
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  75. Modeling the coupled return-spread high frequency dynamics of large tick assets. (2013). Lillo, Fabrizio ; Curato, Gianbiagio .
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  76. Moments of multivariate regime switching with application to risk-return trade-off. (2012). Taamouti, Abderrahim.
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  77. Extracting nonlinear signals from several economic indicators. (2012). Poncela, Pilar ; Perez Quiros, Gabriel ; Camacho, Maximo ; Perez-Quiros, Gabriel.
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  78. Unit roots, nonlinearities and structural breaks. (2012). Teräsvirta, Timo ; Kruse, Robinson ; Haldrup, Niels ; Terasvirta, Timo ; Varneskov, Rasmus T..
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  79. 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, .
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  80. Pricing barrier options by a regime switching model. (2011). .
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  81. The optimal value-at-risk hedging strategy under bivariate regime switching ARCH framework. (2011). Chang, Kuang-Liang.
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  82. Are Different National Stock Markets Driven by the Same Stochastic Hidden Variable?. (2011). Grobys, Klaus.
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  83. Regime Changes and Financial Markets. (2011). Timmermann, Allan ; Ang, Andrew.
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  84. A Long Memory Model with Normal Mixture GARCH. (2011). Cheung, Yin-Wong.
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  85. Log Mean-Variance Portfolio Selection Under Regime Switching. (2011). .
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  86. The Regime Switching Portfolios. (2011). .
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  88. Market regimes, sectorial investments, and time-varying risk premiums. (2011). Zhao, Yonggan ; Xu, Kuan ; Liu, Peixin .
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  89. A model of carbon price interactions with macroeconomic and energy dynamics. (2011). Chevallier, Julien.
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  90. Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models. (2011). Chevallier, Julien.
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    In: Physica A: Statistical Mechanics and its Applications.
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  15. Financial time series modeling using the Hurst exponent. (2015). Anagnostopoulos, Christoforos ; Tzouras, Spilios ; McCoy, Emma .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:425:y:2015:i:c:p:50-68.

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  16. Sharia compliant gold investment in Malaysia: Hedge or safe haven?. (2015). Lean, Hooi Hooi ; Ghazali, Mohd Fahmi ; Bahari, Zakaria .
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:34:y:2015:i:c:p:192-204.

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  17. Value at Risk of the main stock market indexes in the European Union (2000–2012). (2015). Iglesias, Emma.
    In: Journal of Policy Modeling.
    RePEc:eee:jpolmo:v:37:y:2015:i:1:p:1-13.

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  18. Return and volatility linkages between oil prices and the Lebanese stock market in crisis periods. (2015). Bouri, Elie.
    In: Energy.
    RePEc:eee:energy:v:89:y:2015:i:c:p:365-371.

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  19. Power transformations of absolute returns and long memory estimation. (2015). Dalla, Violetta.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:33:y:2015:i:c:p:1-18.

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  20. The Behavior of Conventional and Islamic Bank Deposit Returns in Malaysia and Turkey. (2015). Cevik, Serhan ; Charap, Joshua .
    In: International Journal of Economics and Financial Issues.
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  21. Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk. (2015). Ruiz, Esther ; Hotta, Luiz ; Trucos, Carlos .
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  22. Asset Price Dynamics with Heterogeneous Beliefs and Time Delays. (2014). Li, Kai.
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  23. Factor-Specific Productivity. (2014). Piper, Brian .
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  24. Long memory dynamics for multivariate dependence under heavy tails. (2014). Lucas, Andre ; Koopman, Siem Jan ; Janus, Pawel.
    In: Journal of Empirical Finance.
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  25. Volatility and dynamic conditional correlations of worldwide emerging and frontier markets. (2014). Lyócsa, Štefan ; Baumohl, Eduard.
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  26. A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification. (2014). Floros, Christos ; Degiannakis, Stavros ; Dent, Pamela .
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  27. EARLY WARNING SYSTEMS: ANÁLISE DE UMMODELO PROBIT DE CONTÁGIO DE CRISE DOS ESTADOS UNIDOS PARA O BRASIL(2000-2010). (2014). DA SILVA, CLAUDECI ; Couto, Joaquim Miguel ; MURILLO, HUGO AGUDELO .
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  28. Volatility Spillovers between Equity and Bond Markets: Evidence from G7 and BRICS. (2013). Zhang, Dongxiang ; Wang, Juan.
    In: Journal for Economic Forecasting.
    RePEc:rjr:romjef:v::y:2013:i:4:p:205-217.

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  29. Regional Equity Risk Premium Convergence: The case of Japan. (2013). GUESMI, Khaled.
    In: Working Papers.
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  30. Economic effects by merger and acquisition types in the renewable energy sector: An event study approach. (2013). Heo, Eunnyeong ; Lee, Youah ; Yoo, Kyungjin .
    In: Renewable and Sustainable Energy Reviews.
    RePEc:eee:rensus:v:26:y:2013:i:c:p:694-701.

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  31. Modelling price dynamics: A hybrid truncated Lévy Flight–GARCH approach. (2013). Constantinides, A. ; Savelev, S. E..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:392:y:2013:i:9:p:2072-2078.

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  32. The Tunisian stock market index volatility: Long memory vs. switching regime. (2013). Charfeddine, Lanouar ; Ajmi, Ahdi Noomen.
    In: Emerging Markets Review.
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  33. Moving average stochastic volatility models with application to inflation forecast. (2013). Chan, Joshua ; Chan, Joshua C. C., .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:176:y:2013:i:2:p:162-172.

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  34. Stock market comovements in Central Europe: Evidence from the asymmetric DCC model. (2013). Horvath, Roman ; Gjika, Dritan .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:33:y:2013:i:c:p:55-64.

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  35. Fear sentiments and gold price: testing causality in-mean and in-variance. (2012). Yagil, Joseph ; Qadan, Mahmod .
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:19:y:2012:i:4:p:363-366.

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  36. Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility. (2008). Bos, Charles.
    In: Tinbergen Institute Discussion Papers.
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  37. Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks. (2007). Ooms, Marius ; Koopman, Siem Jan ; Bos, Charles.
    In: Tinbergen Institute Discussion Papers.
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  38. The Power of Weather: Some Empirical Evidence on Predicting Day-ahead Power Prices through Day-ahead Weather Forecasts. (2007). Zhou, Chen ; Ravazzolo, Francesco ; Huurman, Christian .
    In: Tinbergen Institute Discussion Papers.
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  39. Dynamic Correlations and Optimal Hedge Ratios. (2007). Bos, Charles ; Gould, Phillip .
    In: Tinbergen Institute Discussion Papers.
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  40. NON-LINEARITY IN THE CANADIAN AND US LABOUR MARKETS: UNIVARIATE AND MULTIVARIATE EVIDENCE FROM A BATTERY OF TESTS. (2007). Pelloni, Gianluigi ; Panagiotidis, Theodore.
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  41. Detecting Some Dynamic Properties of the Euro/Dollar Exchange Rate. (2006). Osinska, Magdalena ; Matuszewska-Janica, Aleksandra ; Osiska, Magdalena.
    In: International Advances in Economic Research.
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  42. Common Volatility Trends in the Central and Eastern European Currencies and the Euro. (2006). Tamirisa, Natalia T ; Pramor, Marcus.
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  43. Outlier Detection in GARCH Models. (2005). Ooms, Marius ; Doornik, Jurgen.
    In: Tinbergen Institute Discussion Papers.
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  44. Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices. (2005). Ooms, Marius ; Koopman, Siem Jan ; Carnero, M. Angeles.
    In: Tinbergen Institute Discussion Papers.
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  45. Nonparametric Tests for Serial Independence Based on Quadratic Forms. (2005). Panchenko, Valentyn ; Diks, Cees.
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  46. Duration and convexity in spanish corporate bonds. (2004). Sotos, Francisco .
    In: International Advances in Economic Research.
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  47. Weak convergence and distributional assumptions for a general class of nonliner arch models. (1997). Mele, Antonio ; Fornari, Fabio.
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  48. The economics of conditional heteroskedasticity: Evidence from canadian and U.S. stock and futures markets. (1997). Ackert, Lucy.
    In: Atlantic Economic Journal.
    RePEc:kap:atlecj:v:25:y:1997:i:4:p:371-385.

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