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accessRights:"restricted"
~accessRights:"free"
~isPartOf:"Economic modelling"
~subject:"ARCH model"
~subject:"Aktienmarkt"
~subject:"Estimation theory"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Markov chain"
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ARCH model
Aktienmarkt
Estimation theory
Markov chain
28
Markov-Kette
28
Estimation
13
Schätzung
13
Theorie
12
Theory
12
Volatility
11
Volatilität
11
Capital income
7
Kapitaleinkommen
7
ARCH-Modell
6
Stock market
6
Time series analysis
6
Zeitreihenanalyse
6
Bayes-Statistik
5
Bayesian inference
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Börsenkurs
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Share price
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Stochastic process
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Stochastischer Prozess
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Financial market
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Finanzmarkt
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Forecasting model
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Markov switching
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Monetary policy
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Portfolio selection
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Aufsatz in Zeitschrift
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9
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English
9
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Abdallah, Oussama
1
Bejaoui, Azza
1
BenSaïda, Ahmed
1
Changqing, Luo
1
Chen, Xinyun
1
Chi, Xie
1
Cong, Yu
1
Dua, Pami
1
Feng, Lingbing
1
Giner, Javier
1
Hsu, Yuan-Lin
1
Huang, Tzu-Hui
1
Hung, Ming-Chin
1
Karaa, Adel
1
Li, Zhicheng
1
Lin, Shih-kuei
1
Litimi, Houda
1
Racicot, François-Éric
1
Shi, Yanlin
1
Théoret, Raymond
1
Tuteja, Divya
1
Xing, Haipeng
1
Yan, Xu
1
Zakamulin, Valeriy
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Economic modelling
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
20
Journal of econometrics
17
Energy economics
16
Finance research letters
13
Applied economics
12
International journal of forecasting
11
The North American journal of economics and finance : a journal of financial economics studies
11
Quantitative finance
9
Economics letters
8
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
8
Computational economics
7
International review of economics & finance : IREF
7
International review of financial analysis
7
Journal of forecasting
7
Econometric reviews
6
International Journal of Financial Studies : open access journal
6
Journal of empirical finance
6
Applied economics letters
5
Econometrics : open access journal
5
Journal of economic dynamics & control
5
Research in international business and finance
5
Review of quantitative finance and accounting
5
European journal of operational research : EJOR
4
International journal of emerging markets
4
Journal of risk and financial management : JRFM
4
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
3
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
3
Empirical economics : a quarterly journal of the Institute for Advanced Studies
3
Journal of time series econometrics
3
Macroeconomics and finance in emerging market economies
3
Risks : open access journal
3
The journal of futures markets
3
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
3
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
2
Bulletin of economic research
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Comparative economic research : Central and Eastern Europe
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DLSU business & economics review
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Eurasian economic review : a journal in applied macroeconomics and finance
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ECONIS (ZBW)
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1
A regime-switching model of stock returns with momentum and mean reversion
Giner, Javier
;
Zakamulin, Valeriy
- In:
Economic modelling
122
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014388630
Saved in:
2
A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market
Li, Zhicheng
;
Chen, Xinyun
;
Xing, Haipeng
- In:
Economic modelling
118
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014229238
Saved in:
3
Hedge fund return higher moments over the business cycle
Racicot, François-Éric
;
Théoret, Raymond
- In:
Economic modelling
78
(
2019
),
pp. 73-97
Persistent link: https://www.econbiz.de/10012198849
Saved in:
4
Volatility spillover shifts in global financial markets
BenSaïda, Ahmed
;
Litimi, Houda
;
Abdallah, Oussama
- In:
Economic modelling
73
(
2018
),
pp. 343-353
Persistent link: https://www.econbiz.de/10012100545
Saved in:
5
A discussion on the innovation distribution of the Markov regime-switching GARCH model
Shi, Yanlin
;
Feng, Lingbing
- In:
Economic modelling
53
(
2016
),
pp. 278-288
Persistent link: https://www.econbiz.de/10011641034
Saved in:
6
Empirical analysis of stock indices under a regime-switching model with dependent jump size risks
Hsu, Yuan-Lin
;
Lin, Shih-kuei
;
Hung, Ming-Chin
;
Huang, …
- In:
Economic modelling
54
(
2016
),
pp. 260-275
Persistent link: https://www.econbiz.de/10011642172
Saved in:
7
Financial crises and dynamic linkages across international stock and currency markets
Dua, Pami
;
Tuteja, Divya
- In:
Economic modelling
59
(
2016
),
pp. 249-261
Persistent link: https://www.econbiz.de/10011647825
Saved in:
8
Revisiting the bull and bear markets notions in the Tunisian stock market : new evidence from multi-state duration-dependence Markov-switching models
Bejaoui, Azza
;
Karaa, Adel
- In:
Economic modelling
59
(
2016
),
pp. 529-545
Persistent link: https://www.econbiz.de/10011647922
Saved in:
9
Measuring financial market risk contagion using dynamic MRS-Copula models : the case of Chinese and other international stock markets
Changqing, Luo
;
Chi, Xie
;
Cong, Yu
;
Yan, Xu
- In:
Economic modelling
51
(
2015
),
pp. 657-671
Persistent link: https://www.econbiz.de/10011476241
Saved in:
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