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accessRights:"restricted"
~accessRights:"free"
~isPartOf:"Energy economics"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~subject:"ARCH model"
~subject:"Aktienmarkt"
~subject:"Börsenkurs"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Sammlung"
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Search: subject_exact:"Markov chain"
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ARCH model
Aktienmarkt
Börsenkurs
Markov chain
65
Markov-Kette
65
Volatility
37
Volatilität
37
Theorie
27
Theory
27
Estimation
26
Schätzung
26
ARCH-Modell
19
Bayesian inference
19
Bayes-Statistik
18
Monte Carlo simulation
18
Monte-Carlo-Simulation
18
Forecasting model
17
Prognoseverfahren
17
Oil price
16
Time series analysis
16
Zeitreihenanalyse
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Ölpreis
16
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Stochastischer Prozess
13
Welt
11
World
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Markov chain Monte Carlo
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Markov switching
9
Capital income
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Kapitaleinkommen
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Markov-switching
7
Estimation theory
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Bauwens, Luc
2
Casarin, Roberto
2
Ma, Feng
2
Osuntuyi, Anthony
2
Alizadeh-Masoodian, Amir H.
1
Augustyniak, Maciej
1
Ausín, M. Concepción
1
Balcilar, Mehmet
1
Baum, Christopher F.
1
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1
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1
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1
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Chen, Liyuan
1
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1
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1
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1
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1
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1
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1
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1
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Energy economics
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
14
Applied economics
13
Finance research letters
12
International journal of forecasting
11
Economic modelling
10
International review of financial analysis
10
Journal of empirical finance
10
Quantitative finance
10
The North American journal of economics and finance : a journal of financial economics studies
10
International review of economics & finance : IREF
8
Journal of econometrics
8
International Journal of Financial Studies : open access journal
7
Journal of risk and financial management : JRFM
6
Review of quantitative finance and accounting
6
Applied economics letters
5
Research in international business and finance
5
Econometrics : open access journal
4
Economics letters
4
Global finance journal
4
International journal of emerging markets
4
Journal of banking & finance
4
Journal of economic dynamics & control
4
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3
CBN journal of applied statistics
3
Computational economics
3
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
3
International Journal of Energy Economics and Policy : IJEEP
3
International journal of economics and finance
3
International journal of finance & economics : IJFE
3
International journal of theoretical and applied finance
3
Journal of applied econometrics
3
Journal of emerging market finance
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of forecasting
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Journal of international money and finance
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Quantitative finance and economics
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Risks : open access journal
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The European journal of finance
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ECONIS (ZBW)
22
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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
The dynamic interrelations of oil-equity implied volatility indexes under low and high volatility-of-volatility risk
Li, Leon
- In:
Energy economics
105
(
2022
),
pp. 1-8
Persistent link: https://www.econbiz.de/10013201954
Saved in:
3
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:
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
A dynamic conditional regime-switching GARCH CAPM for energy and financial markets
Urom, Christian
;
Chevallier, Julien
;
Zhu, Bangzhu
- In:
Energy economics
85
(
2020
),
pp. 1-45
Persistent link: https://www.econbiz.de/10012510103
Saved in:
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