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accessRights:"restricted"
~accessRights:"free"
~isPartOf:"Finance research letters"
~isPartOf:"International journal of economics and finance"
~isPartOf:"Journal of econometrics"
~source:"econis"
~subject:"ARCH model"
~subject:"Aktienmarkt"
~subject:"Bayes-Statistik"
~subject:"Monte-Carlo-Simulation"
~subject:"Panel study"
~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
Panel study
Markov chain
78
Markov-Kette
77
Estimation
33
Schätzung
33
Theorie
29
Theory
29
Volatility
28
Volatilität
28
Bayesian inference
20
Börsenkurs
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Monte Carlo simulation
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Share price
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Estimation theory
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Kapitaleinkommen
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Schätztheorie
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Forecasting model
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Prognoseverfahren
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Stochastic process
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Stochastischer Prozess
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ARCH-Modell
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Time series analysis
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Zeitreihenanalyse
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Option pricing theory
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Optionspreistheorie
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Stock market
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Markov chain Monte Carlo
9
Stochastic volatility
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Correlation
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Korrelation
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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
Ahsan, Nazmul
1
Akram, Muhammad
1
Alagidede, Imhotep Paul
1
Baldovin, Fulvio
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Bauwens, Luc
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Billio, Monica
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Bognanni, Mark
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Bonhomme, Stéphane
1
Borowska, Agnieszka
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Candido, Osvaldo
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Caporin, Massimiliano
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Caraglio, Michele
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Carriero, Andrea
1
Casarin, Roberto
1
Chan, Joshua
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Chen, Zhongtian
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Clark, Todd E.
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Creal, Drew
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Dellaportas, Petros
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Dijk, Dick van
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Dijk, Herman K. van
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Dong, Weijia
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Eisenstat, Eric
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Fang, Fang
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Feng, Lingbing
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Frühwirth-Schnatter, Sylvia
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Fu, Jingxue
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Finance research letters
International journal of economics and finance
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
16
Economic modelling
15
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
11
Journal of empirical finance
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Risks : open access journal
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Econometric reviews
9
Econometrics : open access journal
9
International review of financial analysis
9
Journal of forecasting
9
Journal of risk and financial management : JRFM
9
Computational economics
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Research in international business and finance
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Applied economics letters
7
International review of economics & finance : IREF
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Journal of applied econometrics
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Insurance / Mathematics & economics
6
International Journal of Financial Studies : open access journal
6
Journal of banking & finance
6
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
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
4
International journal of emerging markets
4
International journal of production research
4
Journal of financial econometrics
4
Review of quantitative finance and accounting
4
Scandinavian actuarial journal
4
The European journal of finance
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Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
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ECONIS (ZBW)
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1
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:
2
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:
3
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:
4
Dynamic clustering of multivariate panel data
João, Igor Custodio
;
Lucas, André
;
Schaumburg, Julia
; …
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-18
Persistent link: https://www.econbiz.de/10014471521
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
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:
7
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:
8
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
Saved in:
9
Re-examination of risk-return dynamics in international equity markets and the role of policy uncertainty, geopolitical risk and VIX : evidence using Markov-switching copulas
Abakah, Emmanuel Joel Aikins
;
Tiwari, Aviral Kumar
; …
- In:
Finance research letters
47
(
2022
)
1
,
pp. 1-8
Persistent link: https://www.econbiz.de/10013455804
Saved in:
10
Markov switching panel with endogenous synchronization effects
Agudze, Komla M.
;
Billio, Monica
;
Casarin, Roberto
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 281-298
Persistent link: https://www.econbiz.de/10013463814
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