Forecasting has always been at the forefront of decision making and planning. The
uncertainty that surrounds the future is both exciting and challenging, with individuals and …

This paper finds strong evidence of time-variations in the joint distribution of returns on a
stock market portfolio and portfolios tracking size- and value effects. Mean returns, volatilities …

This paper investigates the international asset allocation effects of time-variations in higher-order
moments of stock returns such as skewness and kurtosis. In the context of a four-…

This paper studies asset allocation decisions in the presence of regime switching in asset
returns. We find evidence that four separate regimes – characterized as crash, slow growth, …

This paper studies the relationship between civil war and the value of firms in a poor,
resource-abundant country using microeconomic data for Angola. We focus on diamond mining …

This article studies the effects of conflict onset on asset markets applying the event study
methodology. The authors consider a sample of 101 internal and inter-state conflicts during the …

I review the burgeoning literature on applications of Markov regime switching models in
empirical finance. In particular, distinct attention is devoted to the ability of Markov Switching …

This paper presents evidence of persistent ‘bull’ and ‘bear’ regimes in UK stock and bond
returns and considers their economic implications from the perspective of an investor's …

This paper considers a variety of econometric models for the joint distribution of US stock
and bond returns in the presence of regime switching dynamics. While simple two‐ or three‐…

We survey the literature that has explored the implications of decision-making under ambiguity
for financial market outcomes, such as portfolio choice and equilibrium asset prices. This …