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accessRights:"restricted"
person:"Constant, Amelie"
~person:"Blazsek, Szabolcs"
~person:"Omori, Yasuhiro"
~person:"Sornette, Didier"
~subject:"Börsenkurs"
~subject:"Markov-Kette"
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Börsenkurs
Markov-Kette
Estimation
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10
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Constant, Amelie
Blazsek, Szabolcs
Omori, Yasuhiro
Sornette, Didier
Gupta, Rangan
52
Zaremba, Adam
24
Balcilar, Mehmet
19
Ma, Feng
15
Tiwari, Aviral Kumar
15
Narayan, Paresh Kumar
14
Salisu, Afees A.
14
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13
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12
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11
Bekiros, Stelios
10
Lee, Chien-chiang
10
Pierdzioch, Christian
10
Serletis, Apostolos
10
Bouri, Elie
9
Chiang, Thomas C.
9
Demirer, Rıza
9
Lettau, Martin
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Li, Bin
9
Todorov, Viktor
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Xuan Vinh Vo
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Apergēs, Nikolaos
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ECONIS (ZBW)
16
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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
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:
4
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
Saved in:
5
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:
6
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:
7
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:
8
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:
9
"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
Saved in:
10
Decision trees unearth return sign predictability in the S&P 500
Fiévet, Lucas
;
Sornette, Didier
- In:
Quantitative finance
18
(
2018
)
11
,
pp. 1797-1814
Persistent link: https://www.econbiz.de/10012261997
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