A regime-switching model of stock returns with momentum and mean reversion-Reference-Cited by-同舟云学术

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A regime-switching model of stock returns with momentum and mean reversion

Published:2023-05 Issue: Volume:122 Page:106237
ISSN:0264-9993
Container-title:Economic Modelling
language:en
Short-container-title:Economic Modelling

Author:

Giner Javier,Zakamulin Valeriy^ORCID

Publisher

Elsevier BV

Subject

Economics and Econometrics

Reference71 articles.

1. Transitory market states and the joint occurrence of momentum and mean reversion;Balvers;J. Financial Res.,2012

2. Momentum and mean reversion across national equity markets;Balvers;J. Empir. Financ.,2006

3. Mean reversion across national stock markets and parametric contrarian investment strategies;Balvers;J. Finance,2000

4. Style investing;Barberis;J. Financ. Econ.,2003

5. Semi-Markov Chains and Hidden Semi-Markov Models Toward Applications: their Use in Reliability and DNA Analysis;Barbu,2008

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Dividend based risk measures: A Markov chain approach;Applied Mathematics and Computation;2024-06

2. Optimal trend-following rules in two-state regime-switching models;Journal of Asset Management;2024-05-24

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