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accessRights:"restricted"
~accessRights:"free"
~isPartOf:"Finance research letters"
~isPartOf:"International journal of economics and finance"
~isPartOf:"International journal of emerging markets"
~isPartOf:"Journal of econometrics"
~source:"econis"
~subject:"ARCH model"
~subject:"Aktienmarkt"
~subject:"Bayes-Statistik"
~subject:"Monte-Carlo-Simulation"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Sammlung"
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Search: subject_exact:"Markov chain"
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ARCH model
Aktienmarkt
Bayes-Statistik
Monte-Carlo-Simulation
Markov chain
82
Markov-Kette
81
Estimation
37
Schätzung
37
Volatility
31
Volatilität
31
Theorie
29
Theory
29
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21
Share price
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Bayesian inference
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Prognoseverfahren
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Stochastic process
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Option pricing theory
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Optionspreistheorie
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Markov chain Monte Carlo
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Stochastic volatility
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Correlation
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Korrelation
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Markov switching model
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VAR model
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Li, Yong
5
Yu, Jun
4
Maheu, John M.
3
Jin, Xin
2
Shi, Yanlin
2
Sugita, Katsuhiro
2
Zeng, Tao
2
Abakah, Emmanuel Joel Aikins
1
Agudze, Komla M.
1
Ahmad, Wasim
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Akram, Muhammad
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1
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Finance research letters
International journal of economics and finance
International journal of emerging markets
Journal of econometrics
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
25
Energy economics
22
International journal of forecasting
21
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
18
Applied economics
15
Economic modelling
14
Economics letters
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European journal of operational research : EJOR
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Quantitative finance
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Journal of economic dynamics & control
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The North American journal of economics and finance : a journal of financial economics studies
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Risks : open access journal
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International review of financial analysis
9
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Research in international business and finance
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Applied economics letters
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International review of economics & finance : IREF
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International Journal of Financial Studies : open access journal
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Journal of applied econometrics
6
Journal of banking & finance
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Management science : journal of the Institute for Operations Research and the Management Sciences
6
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
5
The journal of futures markets
5
International journal of production research
4
Journal of financial econometrics
4
Review of quantitative finance and accounting
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Scandinavian actuarial journal
4
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
3
Economic research
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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1
Macroeconomic variables for predicting bear stock markets of Taiwan and China
Tran Van Phuong Duong
;
Lin, Szu-Hsien
;
Lai, Huei-Hwa
; …
- In:
International journal of emerging markets
18
(
2023
)
2
,
pp. 273-295
Persistent link: https://www.econbiz.de/10014333460
Saved in:
2
Improved marginal likelihood estimation via power posteriors and importance sampling
Li, Yong
;
Wang, Nianling
;
Yu, Jun
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 28-52
Persistent link: https://www.econbiz.de/10014364649
Saved in:
3
Moments, shocks and spillovers in Markov-switching VAR models
Kole, Erik
;
Dijk, Dick van
- In:
Journal of econometrics
236
(
2023
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014365495
Saved in:
4
Scalable inference for a full multivariate stochastic volatility model
Dellaportas, Petros
;
Titsias, Michalis K.
;
Petrova, Katerina
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 501-520
Persistent link: https://www.econbiz.de/10014340078
Saved in:
5
A closer look at the regime-switching evidence of bull and bear markets
Kirby, Chris
- In:
Finance research letters
52
(
2023
),
pp. 1-7
Persistent link: https://www.econbiz.de/10014472216
Saved in:
6
Volatility spillover analysis between stocks and exchange rate markets in short and long terms in East European and Eurasian countries
Živkov, Dejan
;
Gajić-Glamočlija, Marina
; …
- In:
International journal of emerging markets
18
(
2023
)
11
,
pp. 5068-5086
Persistent link: https://www.econbiz.de/10014458484
Saved in:
7
Regime-switching angular correlation diversification
Lee, Hsiang-Tai
- In:
Finance research letters
50
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014234140
Saved in:
8
Oil price shocks and emerging stock markets revisited
Das, Debojyoti
;
Kannadhasan, M.
;
Bhattacharyya, Malay
- In:
International journal of emerging markets
17
(
2022
)
6
,
pp. 1583-1614
Persistent link: https://www.econbiz.de/10013363282
Saved in:
9
Constrained estimation using penalization and MCMC
Gallant, A. Ronald
;
Hong, Han
;
Leung, Michael P.
;
Li, Jessie
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 85-106
Persistent link: https://www.econbiz.de/10013441728
Saved in:
10
Comment on "Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors"
Bognanni, Mark
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 498-505
Persistent link: https://www.econbiz.de/10013442175
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