Christos Ntantamis

Dalhousie University - Department of Economics

Instructor

Halifax, Nova Scotia B3H 3J5

Canada

Mount Allison University - Department of Economics

144 Main Street

Sackville, New Brunswick E4L1L7

Canada

SCHOLARLY PAPERS

3

DOWNLOADS

386

SSRN CITATIONS

0

CROSSREF CITATIONS

3

Scholarly Papers (3)

1.

A Duration Hidden Markov Model for the Identification of Regimes in Stock Market Returns

Number of pages: 24 Posted: 17 Feb 2009
Christos Ntantamis
Dalhousie University - Department of Economics
Downloads 305 (123,098)
Citation 2

Abstract:

Loading...

Hidden Markov Model, Variable-dependent regime duration, Regime Switching, Interest rate effect

2.

Bull and Bear Markets in Commodity Prices and Commodity Stocks: Is There a Relation?

Number of pages: 35 Posted: 17 Feb 2014
Christos Ntantamis and Jun Zhou
Dalhousie University - Department of Economics and Dalhousie University
Downloads 81 (367,570)
Citation 1

Abstract:

Loading...

Commodity Prices; Stock Prices; Bull and Bear Markets; Duration Analysis

3.

The Bds Test as a Test for the Adequacy of a Garch(1,1) Specification: A Monte Carlo Study

Journal of Financial Econometrics, Vol. 3, No. 2, pp. 282-309, Spring 2005
Posted: 29 Feb 2008
Brunel University London - Department of Economics and Finance, Dalhousie University - Department of Economics, University of Kent and University of Piraeus - Department of Banking and Financial Management

Abstract:

Loading...

BDS test, GARCH(1,1) model, nuisance-parameter free property, QML estimator