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Applied Economics Letters Volume 22, 2015 - Issue 13
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Original Articles

Detecting jumps and regime switches in international stock markets returns

Julien ChevallierIPAG Business School, IPAG Lab, 75006Paris, France;Université Paris 8, LED, 93526Saint-Denis Cedex, FranceCorrespondence[email protected]
&
Stéphane GoutteUniversité Paris 8, LED, 93526Saint-Denis Cedex, France;ESG Management School, 75013Paris, France
Pages 1011-1019 | Published online: 02 Jan 2015

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Julien Chevallier & Stéphane Goutte. (2017) Cross-country performance of Lévy regime-switching models for stock markets. Applied Economics 49:2, pages 111-137.
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Articles from other publishers (9)

Tayyab Raza Fraz, Samreen Fatima & Mudassir Uddin. (2022) Modeling and Forecasting Stock Market Volatility of CPEC Founding Countries: Using Nonlinear Time Series and Machine Learning Models. JISR management and social sciences & economics 20:1, pages 1-20.
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Dmitry А. Endovitsky & Viacheslav V. Korotkikh. (2022) Regime shifts in equity risk premium: international evidence. Vestnik Voronezhskogo gosudarstvennogo universiteta. Ser.: Ekonomika i upravlenie = Proceedings of Voronezh State University. Series: Economics and Management:1.
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Dmitry A. Endovitsky, Viacheslav V. Korotkikh & Denis A. Khripushin. (2021) Equity Risk and Return across Hidden Market Regimes. Risks 9:11, pages 188.
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Myrsini Ntemi & Constantine Kotropoulos. (2021) A jump-diffusion particle filter for price prediction. Signal Processing 183, pages 107994.
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Marc S. Paolella, Paweł Polak & Patrick S. Walker. (2019) Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns. Journal of Econometrics 213:2, pages 493-515.
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Donatien Hainaut & Franck Moraux. (2018) A switching self-exciting jump diffusion process for stock prices. Annals of Finance 15:2, pages 267-306.
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Samuel Asante Gyamerah, Philip Ngare & Dennis Ikpe. (2018) Regime-Switching Temperature Dynamics Model for Weather Derivatives. International Journal of Stochastic Analysis 2018, pages 1-15.
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Ruijun Bu, Jie Cheng & Kaddour Hadri. (2017) Specification analysis in regime-switching continuous-time diffusion models for market volatility. Studies in Nonlinear Dynamics & Econometrics 21:1.
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Marc S. Paolella, Pawel Polak & Patrick S. Walker. (2019) A Flexible Regime Switching Model for Asset Returns. SSRN Electronic Journal.
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