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accessRights:"restricted"
~accessRights:"free"
~isPartOf:"Economic modelling"
~subject:"ARCH model"
~subject:"Börsenkurs"
~subject:"Estimation theory"
~type_genre:"Aufsatz in Zeitschrift"
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ARCH model
Börsenkurs
Estimation theory
Markov chain
28
Markov-Kette
28
Estimation
13
Schätzung
13
Theorie
12
Theory
12
Volatility
11
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11
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7
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Aufsatz in Zeitschrift
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Abdallah, Oussama
1
Balcombe, Kelvin G.
1
Bejaoui, Azza
1
BenSaïda, Ahmed
1
Changqing, Luo
1
Chen, Xinyun
1
Chi, Xie
1
Cong, Yu
1
Dua, Pami
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Feng, Lingbing
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Fraser, Iain M.
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Hung, Ming-Chin
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1
Li, Zhicheng
1
Lin, Shih-kuei
1
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1
Racicot, François-Éric
1
Shi, Yanlin
1
Théoret, Raymond
1
Tuteja, Divya
1
Xing, Haipeng
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Yan, Xu
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Economic modelling
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
23
Energy economics
18
Journal of econometrics
17
Finance research letters
14
Quantitative finance
12
Applied economics
10
International journal of forecasting
10
Journal of empirical finance
10
The North American journal of economics and finance : a journal of financial economics studies
10
Computational economics
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Economics letters
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International review of economics & finance : IREF
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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International Journal of Financial Studies : open access journal
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International review of financial analysis
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Journal of forecasting
7
Review of quantitative finance and accounting
7
Econometric reviews
6
Econometrics : open access journal
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Journal of risk and financial management : JRFM
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Applied economics letters
5
Journal of economic dynamics & control
5
Research in international business and finance
5
European journal of operational research : EJOR
4
Global finance journal
4
Journal of banking & finance
4
Risks : open access journal
4
The journal of futures markets
4
Annals of finance
3
CBN journal of applied statistics
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
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International Journal of Energy Economics and Policy : IJEEP
3
International journal of economics and finance
3
International journal of emerging markets
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International journal of finance & economics : IJFE
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ECONIS (ZBW)
10
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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
Do bubbles have an explosive signature in markov switching models?
Balcombe, Kelvin G.
;
Fraser, Iain M.
- In:
Economic modelling
66
(
2017
),
pp. 81-100
Persistent link: https://www.econbiz.de/10011813660
Saved in:
6
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:
7
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:
8
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:
9
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:
10
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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