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accessRights:"restricted"
person:"Constant, Amelie"
~person:"Blazsek, Szabolcs"
~person:"Omori, Yasuhiro"
~person:"Sornette, Didier"
~subject:"Börsenkurs"
~subject:"Forecasting model"
~subject:"Markov-Kette"
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Börsenkurs
Forecasting model
Markov-Kette
Estimation
28
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12
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10
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10
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9
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Constant, Amelie
Blazsek, Szabolcs
Omori, Yasuhiro
Sornette, Didier
Gupta, Rangan
84
Zaremba, Adam
38
Ma, Feng
30
Marcellino, Massimiliano
27
Balcilar, Mehmet
25
Pierdzioch, Christian
24
Wang, Yudong
24
Zhang, Yaojie
23
Salisu, Afees A.
20
Wohar, Mark E.
20
Narayan, Paresh Kumar
18
Jawadi, Fredj
16
Nonejad, Nima
16
Sehgal, Sanjay
15
Tiwari, Aviral Kumar
15
Gil-Alaña, Luis A.
14
McMillan, David G.
14
Wei, Yu
14
Demirer, Rıza
13
Ghysels, Eric
13
Long, Huaigang
12
Todorov, Viktor
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Bouri, Elie
11
Lee, Chien-chiang
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Shi, Yanlin
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Bekiros, Stelios
10
Kelly, Bryan T.
10
Li, Bin
10
Serletis, Apostolos
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Yin, Libo
10
Baumeister, Christiane
9
Bollerslev, Tim
9
Cakici, Nusret
9
Chiang, Thomas C.
9
Ji, Qiang
9
Lettau, Martin
9
Ludvigson, Sydney C.
9
Moosa, Imad A.
9
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9
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ECONIS (ZBW)
18
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1
Score-driven multi-regime Markov-switching EGARCH : empirical evidence using the Meixner distribution
Blazsek, Szabolcs
;
Haddad, Michel Ferreira Cardia
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
4
,
pp. 589-634
Persistent link: https://www.econbiz.de/10014372917
Saved in:
2
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta
;
Omori, Yasuhiro
- In:
Econometric reviews
42
(
2023
)
6
,
pp. 513-539
Persistent link: https://www.econbiz.de/10014305574
Saved in:
3
Prediction accuracy of volatility using the score-driven Meixner distribution : an application to the Dow Jones
Blazsek, Szabolcs
;
Licht, Adrian
- In:
Applied economics letters
29
(
2022
)
2
,
pp. 111-117
Persistent link: https://www.econbiz.de/10012803390
Saved in:
4
Multivariate Markov-switching score-driven models : an application to the global crude oil market
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
3
,
pp. 313-335
Persistent link: https://www.econbiz.de/10013334746
Saved in:
5
Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
Wehrli, Alexander
;
Wheatley, Spencer
;
Sornette, Didier
- In:
Quantitative finance
21
(
2021
)
5
,
pp. 729-752
Persistent link: https://www.econbiz.de/10012500185
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6
On the predictability of stock market bubbles : evidence from LPPLS confidence multi-scale indicators
Demirer, Rıza
;
Demos, Guilherme
;
Gupta, Rangan
; …
- In:
Quantitative finance
19
(
2019
)
5
,
pp. 843-858
Persistent link: https://www.econbiz.de/10012194719
Saved in:
7
The endo-exo problem in high frequency financial price fluctuations and rejecting criticality
Wheatley, Spencer
;
Wehrli, Alexander
;
Sornette, Didier
- In:
Quantitative finance
19
(
2019
)
7
,
pp. 1165-1178
Persistent link: https://www.econbiz.de/10012194752
Saved in:
8
Forecasting rate of return after extreme values when using AR-t-GARCH and QAR-Beta-t-EGARCH
Blazsek, Szabolcs
;
Carrizo, Daniela
;
Eskildsen, Ricardo
; …
- In:
Finance research letters
24
(
2018
),
pp. 193-198
Persistent link: https://www.econbiz.de/10011982571
Saved in:
9
Score-driven Markov-switching EGARCH models : an application to systematic risk analysis
Blazsek, Szabolcs
;
Ho, Han-Chiang
;
Liu, Su-Ping
- In:
Applied economics
50
(
2018
)
56
,
pp. 6047-6060
Persistent link: https://www.econbiz.de/10012063386
Saved in:
10
"Speculative Influence Network" during financial bubbles : application to Chinese stock markets
Lin, Li
;
Sornette, Didier
- In:
Journal of economic interaction and coordination : JEIC
13
(
2018
)
2
,
pp. 385-431
Persistent link: https://www.econbiz.de/10011962258
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