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accessRights:"restricted"
~accessRights:"free"
~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:"VAR model"
~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
VAR model
Markov chain
47
Markov-Kette
46
Theorie
24
Theory
24
Estimation
23
Schätzung
23
Bayesian inference
18
Monte Carlo simulation
15
Estimation theory
14
Schätztheorie
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Volatility
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Volatilität
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Time series analysis
10
Zeitreihenanalyse
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Markov chain Monte Carlo
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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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Börsenkurs
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VAR-Modell
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Correlation
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Nichtparametrisches Verfahren
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Li, Yong
4
Yu, Jun
4
Jin, Xin
2
Maheu, John M.
2
Sugita, Katsuhiro
2
Zeng, Tao
2
Agudze, Komla M.
1
Ahsan, Nazmul
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Akram, Muhammad
1
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Jacobi, Liana
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International journal of economics and finance
Journal of econometrics
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
26
Energy economics
24
International journal of forecasting
22
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
20
Applied economics
19
Economic modelling
16
Economics letters
14
Finance research letters
14
European journal of operational research : EJOR
13
Journal of economic dynamics & control
13
Quantitative finance
13
The North American journal of economics and finance : a journal of financial economics studies
11
International review of financial analysis
10
Journal of empirical finance
10
Risks : open access journal
10
Applied economics letters
9
Computational economics
9
Econometric reviews
9
International review of economics & finance : IREF
9
Journal of forecasting
9
Journal of risk and financial management : JRFM
9
Econometrics : open access journal
8
Journal of banking & finance
8
Research in international business and finance
8
Journal of applied econometrics
7
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
6
Insurance / Mathematics & economics
6
International Journal of Financial Studies : open access journal
6
Management science : journal of the Institute for Operations Research and the Management Sciences
6
The journal of futures markets
5
International journal of emerging markets
4
International journal of production research
4
Journal of financial econometrics
4
Journal of international financial markets, institutions & money
4
Macroeconomics and finance in emerging market economies
4
Review of quantitative finance and accounting
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Scandinavian actuarial journal
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The European journal of finance
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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
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:
5
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:
6
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
Saved in:
7
Simple estimators and inference for higher-order stochastic volatility models
Ahsan, Nazmul
;
Dufour, Jean-Marie
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 181-197
Persistent link: https://www.econbiz.de/10013275370
Saved in:
8
Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 335-355
Persistent link: https://www.econbiz.de/10012482776
Saved in:
9
Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 496-522
Persistent link: https://www.econbiz.de/10012482819
Saved in:
10
Hypothesis testing based on a vector of statistics
King, Maxwell L.
;
Zhang, Xibin
;
Akram, Muhammad
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 425-455
Persistent link: https://www.econbiz.de/10012483400
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