[1] Ang A., & Bekaert, G. (2002a). International Asset Allocation With Regime Shifts. Review of Financial Studies (15)/4, pp. 1137-1187.

[2] Ang, A. & Bekaert, G. (2002b). Regime Switches In Interest Rates. Journal of Business and Economic Statistics (20), pp. 163-182.

[3] Ang A., & Chen, J. (2002). Asymmetric Correlations Of Equity Portfolios. Journal of Financial Economics (63), pp. 443-494.

[4] Alexander C. (1999). Optimal Hedging Using Cointegration. Philosophical Transactions of the Royal Society Series A, 357, pp. 2039-2058.

[5] Alexander, C. & Dimitriu, A. (2005a). Indexing And Statistical Arbitrage. The Journal of Portfolio Management (31)/2, 50-63.

[6] Alexander, C. & Dimitriu, A. (2005b). Indexing, Cointegration And Equity Market Regimes. International Journal of Finance and Economics (10), pp.213-231.

[7] Barberis, N. (2000). Investing For The Long Run When Returns Are Predictable, Journal of Finance (55), pp. 225-264.

[8] Black, F. (1972). Capital Market Equilibrium With Restricted Borrowing. Journal of Business (45), pp. 444-454.

[9] Black, F., & Litterman, R. (1992). Global Portfolio Optimization, Financial Analysts Journal (48), pp. 28-43.

[10] Boldin, M., & Cici, G. (2010). The Index Rationality Paradox. Journal of Banking and Finance (34), pp. 33-43.

[11] Claessens, S., Kose, M.A., & Terrones, M.E. (2009). What Happens During Recessions, Crunches And Busts? Economic Policy (60), pp.653-700.

[12] Chow, G. (1995). Portfolio Selection Based On Return, Risk, And Relative Performance Financial Analysts Journal (51)/ 2, pp. 54-60.

[13] Chopra, N., Lakonishok, J., & Ritter, J., (1992). Measuring Abnormal Performance. Do Stocks Overreact? Journal of Financial Economics (31), pp. 235—268.

[14] De Bondt, W., & Thaler, R., (1985). Does The Stock Market Overreact? Journal of Finance (40), pp. 793—805.

[15] Friesen, G.C., Weller, P.A., & Dunham, L.M. (2009). Price Trends And Patterns In Technical Analysis: A Theoretical And Empirical Examination. Journal of Banking & Finance (33), pp. 1089-1100.

[16] Gonzalez, L., Powell, J. G., Shi, J., & A. Wilson (2005). Two Centuries of Bull And Bear Market Cycles. International Review of Economics and Finance (14), pp. 469—486.

[17] Granger, C.W.J., & Terasvirta, T. (1993). Modelling Nonlinear Economic Relationships, Chapter 5. Oxford: Oxford University Press.

[18] Grobys, K. (2010). Do Business Cycles Exhibit Beneficial Information For Portfolio Management? An Empirical Application Of Statistical Arbitrage. The Review of Finance and Banking (2)/2, pp. 41-56.

[19] Grobys, K. (2011). Are Different National Stock Markets Driven By The Same Stochastic Hidden Variable? The Review of Finance and Banking (3)/1, pp. 21-30.

[20] Guidolin, M., & Timmermann, A. (2005a). Strategic Asset Allocation And Consumption Decisions Under Multivariate Regime Switching, Federal Reserve Bank of St. Louis working paper No. 2005-002A.

[21] Guidolin, M., & Timmermann, A. (2005b). Size And Value Anomalies Under Regime Switching. Federal Reserve Bank of St. Louis working paper No. 2005-007A.

[22] Guidolin, M., & Timmermann, A. (2006a). An Econometric Model Of Nonlinear Dynamics In The Joint Distribution Of Stock And Bond Returns. Journal of Applied Econometrics (21), pp.1-22.

[23] Guidolin, M., & Timmermann, A. (2006b). Term Structure Of Risk Under Alternative Econometric Specifications. Journal of Econometrics (131), pp. 285-308.

[24] Guidolin, M., & Timmermann, A. (2006c). International Asset Allocation Under Regime Switching, Skew And Kurtosis Preferences. Federal Reserve Bank of St. Louis working paper No. 2005-018A.

[25] Guidolin, M., & Timmermann, A. (2008). Asset Allocation Under Multivariate Regime Switching. Journal of Economic Dynamics and Control (31), pp. 3503-3544.

[26] Hamilton, J. (1989). A New Approach To The Economic Analysis Of Nonstationary Time Series And The Business Cycle. Econometrica (57), pp. 357-384.

[27] Jegadeesh, N., & Titman, S., (1993). Returns To Buying Winners And Selling Losers: Implications For Stock Market Efficiency. Journal of Finance (48), pp. 65—91.

[28] Jones, R.C., Lim, T., & Zangari, P.J. (2007). The Black-Litterman Model For Structured Equity Portfolios. The Journal of Portfolio Management (33)/2, pp. 24-33.

[29] Lunde, A., & Timmermann, A. G., (2004). Duration Dependence In Stock Prices: An Analysis Of Bull And Bear Markets. Journal of Business & Economic Statistics (22)/3, pp.253—273.

[30] Markowitz, H. (1959). Portfolio Selection: Efficient Diversification of Investments. New York: John Wiley & Sons.

[31] Martellini, L., & Ziemann, V. (2007). Extending Black-Litterman Analysis Beyond The Mean-Variance Framework. The Journal of Portfolio Management (33)/4, pp. 33-44.

[32] Montfort, K., Visser, E., & Fijn van Draat, L. (2008). Index Tracking By Means Of Optimized Sampling. Journal of Portfolio Management (34), pp.143-151.

[33] Sharpe, W. (1964). Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk. Journal of Finance, pp, 425-442.

[34] Pagan, A. R., & Sossounov, K. A. (2003). A Simple Framework For Analyzing Bull And Bear Markets. Journal of Applied Econometrics (18)/1, pp. 23—46.

[35] Perez-Quiros, G. & Timmermann, A. (2001). Business Cycle Asymmetries In Stock Returns: Evidence From Higher Order Moments And Conditional Densities, Journal of Econometrics (103), pp. 259-306.

[36] Phengpis, C., & Swanson, P.E. (2011). Optimization, Cointegration And Diversification Gains From International Portfolios: An Out-Of-Sample Analysis. Review of Quantitative Finance and Accounting (36)/2, pp.269-286.

[37] Van Montfort, K., Visser, E., & Fijn van Draat, L. (2008). Index Tracking By Means Of Optimized Sampling. The Journal of Portfolio Management (34)/2, pp. 143-152.

[38] Whitelaw, R. (2001). Stock Market Risk And Return: An Equilibrium Approach. Review of Financial Studies (13), pp. 521-548.