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accessRights:"restricted"
~accessRights:"free"
~isPartOf:"Economic modelling"
~isPartOf:"Energy economics"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~person:"Baum, Christopher F."
~person:"Cavicchioli, Maddalena"
~person:"Di Sanzo, Silvestro"
~subject:"ARCH model"
~subject:"Estimation theory"
~subject:"Higher order moments"
~subject:"Markov chain Monte Carlo"
~type_genre:"Aufsatz in Zeitschrift"
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ARCH model
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Markov chain Monte Carlo
ARCH-Modell
3
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3
Markov-Kette
3
Volatility
3
Volatilität
3
Markov switching
2
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Asymmetric Laplace distribution
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Long memory
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Baum, Christopher F.
Cavicchioli, Maddalena
Di Sanzo, Silvestro
Bauwens, Luc
2
Casarin, Roberto
2
Ma, Feng
2
Osuntuyi, Anthony
2
Yamauchi, Yuta
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Zhang, Xibin
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Abdallah, Oussama
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Abowd, John M.
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AusÃn, M. Concepción
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Chi, Xie
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Cong, Yu
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Costantini, Mauro
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Economic modelling
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Economics letters
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Markov switching GARCH models : higher order moments, kurtosis measures, and volatility evaluation in recessions and pandemic
Cavicchioli, Maddalena
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
4
,
pp. 1772-1783
Persistent link: https://www.econbiz.de/10013540511
Saved in:
2
Leverage effects and stochastic volatility in spot oil returns : a Bayesian approach with VaR and CVaR applications
Chen, Liyuan
;
Zerilli, Paola
;
Baum, Christopher F.
- In:
Energy economics
79
(
2019
),
pp. 111-129
Persistent link: https://www.econbiz.de/10012172264
Saved in:
3
A Markov switching long memory model of crude oil price return volatility
Di Sanzo, Silvestro
- In:
Energy economics
74
(
2018
),
pp. 351-359
Persistent link: https://www.econbiz.de/10011972860
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