Regime Changes and Financial Markets

By Andrew Ang, Allan G. Timmermann. 2012

489 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Bryan Lim
2. Tomas Pfister
3. Sercan Ö. Arik

In Finance

1. Bryan Lim

Citations in the corpus

• Temporal Fusion Transformers for Interpretable Multi-horizon Time Series Forecasting (2019, background): “For instance, regime-switching behavior has been widely documented in financial markets [2], with returns characteristics – such as volatility – being observed to change abruptly between regimes.”
• Macroeconomic Regimes and Regime Shifts (2016, unknown): “For a survey of this literature see Ang and Timmermann (2012).”
• The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets (2021, unknown): “…further developed by Kim et al., 1998; Guidolin and Timmermann, 2007, Guidolin, 2009, 2011; Alexander and Kaeck, 2008; Hahn et al., 2010; Liu, 2011; Ang and Timmermann, 2011; etc. Guidolin (2012) shows that these type of models effectively capture volatility clustering, excess kurtosis, and heavy…”