{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,3,28]],"date-time":"2025-03-28T04:31:42Z","timestamp":1743136302038,"version":"3.40.3"},"publisher-location":"Heidelberg","reference-count":13,"publisher":"Physica-Verlag HD","isbn-type":[{"type":"print","value":"9783790826036"},{"type":"electronic","value":"9783790826043"}],"license":[{"start":{"date-parts":[[2010,1,1]],"date-time":"2010-01-01T00:00:00Z","timestamp":1262304000000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/www.springernature.com\/gp\/researchers\/text-and-data-mining"},{"start":{"date-parts":[[2010,1,1]],"date-time":"2010-01-01T00:00:00Z","timestamp":1262304000000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/www.springernature.com\/gp\/researchers\/text-and-data-mining"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2010]]},"DOI":"10.1007\/978-3-7908-2604-3_41","type":"book-chapter","created":{"date-parts":[[2010,11,8]],"date-time":"2010-11-08T10:41:11Z","timestamp":1289212871000},"page":"429-436","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":2,"title":["A Markov Switching Re-evaluation of Event-Study Methodology"],"prefix":"10.1007","author":[{"given":"Rosella","family":"Castellano","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Luisa","family":"Scaccia","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2010,9,30]]},"reference":[{"issue":"1","key":"41_CR1","doi-asserted-by":"publisher","first-page":"3","DOI":"10.1016\/0304-405X(85)90042-X","volume":"14","author":"S. Brown","year":"1985","unstructured":"BROWN, S. and WARNER, J. (1985): Using daily stock returns: The case of event studies. Journal of Financial Economics 14 (1), 3-31.","journal-title":"Journal of Financial Economics"},{"key":"41_CR2","doi-asserted-by":"crossref","first-page":"453","DOI":"10.1007\/978-3-642-03739-9_51","volume-title":"Data Analysis and Classification: From Exploration to Confirmation","author":"R. Castellano","year":"2010","unstructured":"CASTELLANO, R. and SCACCIA, L. (2010): Bayesian hidden Markov models for financial data. In: F. Palumbo, C.N. Lauro and M.J. Greenacre (Eds.): Data Analysis and Classification: From Exploration to Confirmation. Springer, Berlin-Heidelberg, 453\u2013461."},{"issue":"4","key":"41_CR3","first-page":"689","volume":"80","author":"C. Engel","year":"1990","unstructured":"ENGEL, C. and HAMILTON, J.D. (1990): Long swings in the dollar: Are they in the data and do markets know it? The American Economic Review 80 (4), 689-713.","journal-title":"The American Economic Review"},{"issue":"1-2","key":"41_CR4","doi-asserted-by":"publisher","first-page":"349","DOI":"10.1016\/j.jeconom.2005.07.021","volume":"135","author":"N. Haldrup","year":"2006","unstructured":"HALDRUP, N. and NIELSEN, M.O. (2006): A regime switching long memory model for electricity prices. Journal of econometrics 135 (1-2), 349-376","journal-title":"Journal of econometrics"},{"issue":"4","key":"41_CR5","doi-asserted-by":"publisher","first-page":"293","DOI":"10.1002\/ijfe.275","volume":"11","author":"V.G. Heinke","year":"2006","unstructured":"HEINKE, V.G. (2006): Credit spread volatility, bond ratings and the risk reduction effect of watchlistings. International Journal of Finance and Economics 11 (4), 293-303.","journal-title":"International Journal of Finance and Economics"},{"issue":"11","key":"41_CR6","doi-asserted-by":"publisher","first-page":"2789","DOI":"10.1016\/j.jbankfin.2004.06.010","volume":"28","author":"J. Hull","year":"2004","unstructured":"HULL, J., PREDESCU, M. and WHITE, A. (2004): The relationship between credit default swap spreads, bond yields, and credit rating announcements. Journal of Banking and Finance 28 (11), 2789-2811.","journal-title":"Journal of Banking and Finance"},{"issue":"6","key":"41_CR7","doi-asserted-by":"publisher","first-page":"2879","DOI":"10.1111\/0022-1082.00311","volume":"55","author":"D. Kliger","year":"2000","unstructured":"KLIGER, D. and Sarig, O. (2000): The information value of bond ratings. The Journal of Finance 55 (6), 2879-2902.","journal-title":"The Journal of Finance"},{"issue":"3","key":"41_CR8","doi-asserted-by":"publisher","first-page":"301","DOI":"10.1016\/S0304-405X(96)00899-9","volume":"43","author":"S. Kothari","year":"1997","unstructured":"KOTHARI, S. and WARNER, J. (1997): Measuring long-horizon security price performance. Journal of Financial Economics 43 (3), 301-339.","journal-title":"Journal of Financial Economics"},{"issue":"11","key":"41_CR9","doi-asserted-by":"publisher","first-page":"2813","DOI":"10.1016\/j.jbankfin.2004.06.011","volume":"28","author":"L. Norden","year":"2004","unstructured":"NORDEN, L. and WEBER, M. (2004): Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements. Journal of Banking and Finance 28 (11), 2813-2843.","journal-title":"Journal of Banking and Finance"},{"issue":"4","key":"41_CR10","doi-asserted-by":"publisher","first-page":"477","DOI":"10.1081\/ETC-120015387","volume":"21","author":"E. Otranto","year":"2002","unstructured":"OTRANTO, E. and GALLO, G.(2002): A nonparametric Bayesian approach to detect the number of regimes in Markov switching models. Econometric Reviews 21 (4), 477-496.","journal-title":"Econometric Reviews"},{"issue":"2","key":"41_CR11","doi-asserted-by":"publisher","first-page":"203","DOI":"10.1016\/j.jempfin.2005.09.003","volume":"13","author":"A. Rossi","year":"2006","unstructured":"ROSSI, A. and GALLO, G. (2006): Volatility estimation via hidden Markov models. Journal of Empirical Finance 13 (2), 203-230.","journal-title":"Journal of Empirical Finance"},{"issue":"3","key":"41_CR12","doi-asserted-by":"publisher","first-page":"217","DOI":"10.1002\/(SICI)1099-1255(199805\/06)13:3<217::AID-JAE476>3.0.CO;2-V","volume":"13","author":"T. Ryd\u00e9n","year":"1998","unstructured":"RYD\u00c9N, T., TER\u00c4SVIRTA, T. and \u00c5SBRINK, S. (1998): Stylized facts of daily return series and the hidden Markov model. Journal of Applied Econometrics 13 (3), 217-244.","journal-title":"Journal of Applied Econometrics"},{"issue":"2","key":"41_CR13","doi-asserted-by":"publisher","first-page":"139","DOI":"10.1002\/ijfe.148","volume":"6","author":"M. Steiner","year":"2001","unstructured":"STEINER, M. and HEINKE, V.G. (2001): Event study concerning international bond price effects of credit rating actions. International Journal of Finance and Economics 6 (2), 139-157.","journal-title":"International Journal of Finance and Economics"}],"container-title":["Proceedings of COMPSTAT'2010"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/978-3-7908-2604-3_41","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,1,31]],"date-time":"2023-01-31T21:23:54Z","timestamp":1675200234000},"score":1,"resource":{"primary":{"URL":"https:\/\/link.springer.com\/10.1007\/978-3-7908-2604-3_41"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2010]]},"ISBN":["9783790826036","9783790826043"],"references-count":13,"URL":"https:\/\/doi.org\/10.1007\/978-3-7908-2604-3_41","relation":{},"subject":[],"published":{"date-parts":[[2010]]},"assertion":[{"value":"30 September 2010","order":1,"name":"first_online","label":"First Online","group":{"name":"ChapterHistory","label":"Chapter History"}}]}}