In this paper, we employ a four-state hidden semi-Markov model, which outperforms a hidden Markov model, to identify market conditions of the US stock market over the daily period from 16th of February, 1885 to 4th of June, ...

In this paper, we use intraday futures market data on gold and oil to compute returns, realized volatility, volatility jumps, realized skewness and realized kurtosis. Using these daily metrics associated with two markets ...

In this paper, we analyze the predictability of the movements of bond premia of US Treasury due to oil price uncertainty over the monthly period 1953:06 to 2016:12. For our purpose, we use a higher order nonparametric ...