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accessRights:"restricted"
~accessRights:"free"
~isPartOf:"International Journal of Energy Economics and Policy : IJEEP"
~isPartOf:"Quantitative finance"
~source:"econis"
~subject:"ARCH model"
~subject:"Aktienmarkt"
~subject:"Bayes-Statistik"
~subject:"Monte-Carlo-Simulation"
~subject:"Time series analysis"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Sammlung"
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Aktienmarkt
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Markov chain
48
Markov-Kette
48
Theorie
20
Theory
20
Stochastic process
15
Stochastischer Prozess
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14
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14
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International Journal of Energy Economics and Policy : IJEEP
Quantitative finance
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
39
Journal of econometrics
28
Energy economics
25
International journal of forecasting
25
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
23
Applied economics
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Economic modelling
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Economics letters
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Finance research letters
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European journal of operational research : EJOR
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7
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7
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6
International Journal of Financial Studies : open access journal
6
Management science : journal of the Institute for Operations Research and the Management Sciences
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5
Macroeconomic dynamics
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Review of quantitative finance and accounting
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The journal of futures markets
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Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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Global finance journal
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International journal of economics and finance
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1
VIX pricing in the rBergomi model under a regime switching change of measure
Guerreiro, Henrique
;
Guerra, João
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 721-738
Persistent link: https://www.econbiz.de/10014304326
Saved in:
2
Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry
Zhang, Zehua
;
Zhao, Ran
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 35-51
Persistent link: https://www.econbiz.de/10013490951
Saved in:
3
Markovian approximations of stochastic Volterra equations with the fractional kernel
Bayer, Christian
;
Breneis, Simon
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 53-70
Persistent link: https://www.econbiz.de/10013490954
Saved in:
4
Analysis of precious metal price movements using long memory model and fuzzy time series Markov Chain
Arif, Erman
;
Devianto, Dodi
;
Yollanda, Mutia
;
Afrimayani
- In:
International Journal of Energy Economics and Policy : IJEEP
12
(
2022
)
6
,
pp. 202-214
Persistent link: https://www.econbiz.de/10014231095
Saved in:
5
Bubbles and dependence between international equity markets
Ye, Wuyi
;
Gao, Lingbo
;
Liu, Xiaoquan
- In:
Quantitative finance
24
(
2024
)
1
,
pp. 119-138
Persistent link: https://www.econbiz.de/10014551948
Saved in:
6
A Markov switching VECM model for Russian real GDP, real exchange rate and oil prices
Bedin, Andrey Feliksovich
;
Kulikov, Alexander Vladimirovich
- In:
International Journal of Energy Economics and Policy : IJEEP
11
(
2021
)
2
,
pp. 402-412
Persistent link: https://www.econbiz.de/10012616125
Saved in:
7
Volatility is (mostly) path-dependent
Guyon, Julien
;
Lekeufack, Jordan
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1221-1258
Persistent link: https://www.econbiz.de/10014339908
Saved in:
8
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
Wang, Chao
;
Gerlach, Richard
;
Chen, Qian
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 309-334
Persistent link: https://www.econbiz.de/10014232647
Saved in:
9
Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model
Khashanah, Khaldoun
;
Shao, Chenjie
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 241-253
Persistent link: https://www.econbiz.de/10013167735
Saved in:
10
Unraveling S&P500 stock volatility and networks : an encoding-and-decoding approach
Wang, Xiaodong
;
Hsieh, Fushing
- In:
Quantitative finance
22
(
2022
)
5
,
pp. 997-1016
Persistent link: https://www.econbiz.de/10013367879
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