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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"
~subject:"ARCH model"
~subject:"Markov chain Monte Carlo"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Markov chain"
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ARCH model
Markov chain Monte Carlo
Markov chain
93
Markov-Kette
93
Volatility
48
Volatilität
48
Estimation
39
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39
Theorie
39
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39
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25
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24
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23
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Aufsatz in Zeitschrift
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Bauwens, Luc
2
Casarin, Roberto
2
Ma, Feng
2
Osuntuyi, Anthony
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Yamauchi, Yuta
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2
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1
Abowd, John M.
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
16
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14
International journal of forecasting
12
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7
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ECONIS (ZBW)
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1
Bayesian nonparametric panel Markov-switching GARCH models
Casarin, Roberto
;
Costantini, Mauro
;
Osuntuyi, Anthony
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
1
,
pp. 135-146
Persistent link: https://www.econbiz.de/10014449842
Saved in:
2
Regime specific spillovers across US sectors and the role of oil price volatility
Hernandez, Jose Arreola
;
Shahzad, Syed Jawad Hussain
; …
- In:
Energy economics
107
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013202566
Saved in:
3
Bayesian approach to Lorenz curve using time series grouped data
Kobayashi, Genya
;
Yamauchi, Yuta
;
Kakamu, Kazuhiko
; …
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 897-912
Persistent link: https://www.econbiz.de/10013534578
Saved in:
4
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:
5
Forecasting renewable energy stock volatility using short and long-term Markov switching GARCH-MIDAS models : either, neither or both?
Wang, Lu
;
Wu, Jiangbin
;
Cao, Yang
;
Hong, Yanran
- In:
Energy economics
111
(
2022
),
pp. 1-12
Persistent link: https://www.econbiz.de/10013349997
Saved in:
6
Modelling the volatility of TOCOM energy futures : a regime switching realised volatility approach
Alizadeh-Masoodian, Amir H.
;
Huang, Chih-Yueh
;
Marsh, Ian
- In:
Energy economics
93
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012643308
Saved in:
7
Semiparametric GARCH via Bayesian model averaging
Chen, Wilson Ye
;
Gerlach, Richard H.
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
2
,
pp. 437-452
Persistent link: https://www.econbiz.de/10012499090
Saved in:
8
Oil shocks and stock market volatility : new evidence
Lu, Xinjie
;
Ma, Feng
;
Wang, Jiqian
;
Zhu, Bo
- In:
Energy economics
103
(
2021
),
pp. 1-11
Persistent link: https://www.econbiz.de/10013364063
Saved in:
9
Capturing the dynamics of the China crude oil futures : Markov switching, co-movement, and volatility forecasting
Liu, Min
;
Lee, Chien-chiang
- In:
Energy economics
103
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013364085
Saved in:
10
Mixed marginal copula modeling
Gunawan, David
;
Khaled, Mohamad A.
;
Kohn, Robert
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
1
,
pp. 137-147
Persistent link: https://www.econbiz.de/10012179532
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