A Markov regime-switching model for crude-oil markets: Comparison of composite likelihood and full likelihood

Wei Zou; Jiahua Chen

doi:10.1002/cjs.11173

A Markov regime-switching model for crude-oil markets: Comparison of composite likelihood and full likelihood

Canadian Journal of Statistics ◽

10.1002/cjs.11173 ◽

2013 ◽

Vol 41 (2) ◽

pp. 353-367 ◽

Cited By ~ 4

Author(s):

Wei Zou ◽

Jiahua Chen

Keyword(s):

Crude Oil ◽

Regime Switching ◽

Composite Likelihood ◽

Markov Regime Switching ◽

Regime Switching Model ◽

Switching Model ◽

Full Likelihood ◽

Oil Markets ◽

Markov Regime Switching Model

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Exploring the WTI crude oil price bubble process using the Markov regime switching model

Physica A Statistical Mechanics and its Applications ◽

10.1016/j.physa.2014.11.051 ◽

2015 ◽

Vol 421 ◽

pp. 377-387 ◽

Cited By ~ 27

Author(s):

Yue-Jun Zhang ◽

Jing Wang

Keyword(s):

Crude Oil ◽

Regime Switching ◽

Oil Price ◽

Crude Oil Price ◽

Markov Regime Switching ◽

Regime Switching Model ◽

Switching Model ◽

Price Bubble ◽

Markov Regime Switching Model

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Interpreting the crude oil price movements: Evidence from the Markov regime switching model

Applied Energy ◽

10.1016/j.apenergy.2015.01.005 ◽

2015 ◽

Vol 143 ◽

pp. 96-109 ◽

Cited By ~ 62

Author(s):

Yue-Jun Zhang ◽

Lu Zhang

Keyword(s):

Crude Oil ◽

Regime Switching ◽

Oil Price ◽

Crude Oil Price ◽

Markov Regime Switching ◽

Regime Switching Model ◽

Switching Model ◽

Price Movements ◽

Markov Regime Switching Model

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A Markov regime-switching model of crude oil market integration

Journal of Commodity Markets ◽

10.1016/j.jcomm.2017.03.001 ◽

2017 ◽

Vol 6 ◽

pp. 16-31 ◽

Cited By ~ 6

Author(s):

Konstantin Kuck ◽

Karsten Schweikert

Keyword(s):

Crude Oil ◽

Regime Switching ◽

Market Integration ◽

Markov Regime Switching ◽

Regime Switching Model ◽

Switching Model ◽

Oil Market ◽

Markov Regime Switching Model

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A Markov regime-switching model for the semiconductor industry cycles

Economic Modelling ◽

10.1016/j.econmod.2006.02.007 ◽

2006 ◽

Vol 23 (4) ◽

pp. 569-578 ◽

Cited By ~ 11

Author(s):

Wen-Hsien Liu ◽

Yih-Luan Chyi

Keyword(s):

Regime Switching ◽

Semiconductor Industry ◽

Markov Regime Switching ◽

Regime Switching Model ◽

Switching Model ◽

Markov Regime Switching Model

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Pricing Chinese warrants using artificial neural networks coupled with Markov regime switching model

International Journal of Financial Markets and Derivatives ◽

10.1504/ijfmd.2011.045600 ◽

2011 ◽

Vol 2 (4) ◽

pp. 314

Author(s):

David Liu ◽

Lei Zhang

Keyword(s):

Neural Networks ◽

Artificial Neural Networks ◽

Regime Switching ◽

Markov Regime Switching ◽

Regime Switching Model ◽

Switching Model ◽

Artificial Neural ◽

Markov Regime Switching Model

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Risk–Return Relationship in BRIC Equity Markets: Evidence from Markov Regime Switching Model with Time-varying Transition Probabilities

Metamorphosis ◽

10.1177/0972622516675814 ◽

2016 ◽

Vol 15 (2) ◽

pp. 69-78

Author(s):

Amanjot Singh ◽

Manjit Singh

Keyword(s):

Regime Switching ◽

Transition Probabilities ◽

Equity Markets ◽

Time Varying ◽

Markov Regime Switching ◽

Regime Switching Model ◽

Switching Model ◽

Risk Return ◽

Markov Regime Switching Model

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A Markov Regime-Switching Model on Foreign Trade: The Case of China

2011 International Conference on Management and Service Science ◽

10.1109/icmss.2011.5999256 ◽

2011 ◽

Author(s):

Dongmei Li ◽

Zhihong Song ◽

Libo Fan

Keyword(s):

Foreign Trade ◽

Regime Switching ◽

Markov Regime Switching ◽

Regime Switching Model ◽

Switching Model ◽

Markov Regime Switching Model

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Examining the Korean Inbound Tourism Market Cycle: A Markov Regime-Switching Model

Tourism Analysis ◽

10.3727/108354215x14411980111532 ◽

2015 ◽

Vol 20 (5) ◽

pp. 551-557

Author(s):

Ming-Hsiang Chen ◽

Chien-Pang Lin ◽

Ming-Chang Cheng ◽

Jo-Hsin Yuan

Keyword(s):

Regime Switching ◽

Markov Regime Switching ◽

Regime Switching Model ◽

Switching Model ◽

Inbound Tourism ◽

Markov Regime Switching Model

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Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach

Mathematical Methods of Operations Research ◽

10.1007/s00186-013-0451-8 ◽

2013 ◽

Vol 79 (1) ◽

pp. 1-30 ◽

Cited By ~ 18

Author(s):

Joanna Janczura

Keyword(s):

Risk Premium ◽

Regime Switching ◽

Markov Regime Switching ◽

Regime Switching Model ◽

Switching Model ◽

Electricity Derivatives ◽

Markov Regime Switching Model

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Volatility in stock returns for new EU member states: Markov regime switching model

International Review of Financial Analysis ◽

10.1016/j.irfa.2007.03.006 ◽

2007 ◽

Vol 16 (3) ◽

pp. 282-292 ◽

Cited By ~ 33

Author(s):

Tomoe Moore ◽

Ping Wang

Keyword(s):

Stock Returns ◽

Regime Switching ◽

Member States ◽

Markov Regime Switching ◽

Regime Switching Model ◽

Switching Model ◽

Eu Member States ◽

Markov Regime Switching Model ◽

New Eu Member States

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