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For our particular application, we assume that technical trading variables may have explanatory value for future level shifts, where these effects may differ across upward\u2010 or downward\u2010tending markets. A natural competitor of the resultant switching regime CLEAR [SR\u2010CLEAR] model is a long\u2010memory model, which is known to pick up neglected level shifts. Hence, when we apply the SR\u2010CLEAR model to nine stock markets and document its good fit and forecasting ability, we compare it with a long\u2010memory model. Copyright \u00a9 2002 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.690","type":"journal-article","created":{"date-parts":[[2002,10,29]],"date-time":"2002-10-29T13:56:52Z","timestamp":1035899812000},"page":"601-616","source":"Crossref","is-referenced-by-count":10,"title":["Modelling and forecasting level shifts in absolute returns"],"prefix":"10.1002","volume":"17","author":[{"given":"Philip Hans","family":"Franses","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Marco","family":"Van Der Leij","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Richard","family":"Paap","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2002,10,28]]},"reference":[{"key":"e_1_2_7_2_1","volume-title":"Statistics for Long\u2010memory Processes","author":"Beran J","year":"1994"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.1007\/s001810050065"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb05189.x"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04681.x"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0169-2070(00)00070-4"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(82)90018-6"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.3980120802"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(01)00073-2"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0927-5398(93)90006-D"},{"key":"e_1_2_7_11_1","volume-title":"Object\u2010Oriented Matrix Programming Using Ox","author":"Doornik JA","year":"1999"},{"key":"e_1_2_7_12_1","unstructured":"DoornikJA OomsM.2001. 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