Bull and bear markets are a common way of describing cycles in equity prices. To fully
describe such cycles one would need to know the data generating process (DGP) for equity …

A short history of economic developments over the past two decades vividly shows that
gyrations in financial markets have greatly influenced real activity around the world …

Structural time series models are formulated in terms of components, such as trends,
seasonals and cycles, that have a direct interpretation. As well as providing a framework for …

This book contains a up-to-date overview of nonlinear time series models and their
application to modelling economic relationships. It considers nonlinear models in stationary …

This article uses a Markov-switching model that incorporates duration dependence to
capture nonlinear structure in both the conditional mean and the conditional variance of …

This paper investigates whether a higher oil price pushes the stock market into bear territory,
by using time-varying transition-probability Markov-switching models. It examines different …

The views on financial liberalization are quite conflictive. Many argue that it triggers financial
bubbles and crises. Others claim that financial liberalization allows markets to function …

This paper investigates whether monetary policy has asymmetric effects on stock returns
using Markov‐switching models. Different measures of a monetary policy stance are …

Global equity markets experienced a substantial downfall with the outbreak of the COVID-19
pandemic. At the peak of the downfall, S&P Dow Jones reported that their Islamic equity …

This paper investigates the link between the lack of consumer confidence and stock returns
during market fluctuations. Using a Markov-switching framework, we first focus on whether …