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Publications by Anton Velinov

Can Stock Price Fundamentals Properly Be Captured? Using Markov Switching in Heteroskedasticity Models to Test Identification Schemes

SSRN Electronic Journal

English

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Improving Markov Switching Models Using Realized Variance

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Heteroskedasticity in Stock Returns

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Identification-Robust Moment-Based Tests for Markov Switching in Autoregressive Models

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Empirical Analysis of Chinese Stock Market Volatility Based on GARCH Models and Markov Switching Models

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Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models

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Optimal Hedging in Carbon Emission Markets Using Markov Regime Switching Models

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Bayesian Markov Switching Stochastic Correlation Models

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Prediction of Stock Price Movement Using Continuous Time Models

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Can the Markov Switching Model Forecast Exchange Rates?

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