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accessRights:"restricted"
~accessRights:"free"
~isPartOf:"International journal of finance & economics : IJFE"
~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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ARCH model
Aktienmarkt
Bayes-Statistik
Monte-Carlo-Simulation
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Markov chain
47
Markov-Kette
47
Theorie
24
Theory
24
Volatility
16
Volatilität
16
Estimation
15
Schätzung
15
Stochastic process
15
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Nichtparametrisches Verfahren
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Bayer, Christian
2
Chen, Qian
2
Gerlach, Richard
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Wang, Chao
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Acquah, Benjamin K.
1
Asai, Manabu
1
Breneis, Simon
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Brou, Jean Marcelin Bosson
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1
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Hsieh, Fushing
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International journal of finance & economics : IJFE
Quantitative finance
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
35
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
20
Economic modelling
18
Economics letters
18
Computational economics
14
European journal of operational research : EJOR
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Finance research letters
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Econometric reviews
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The North American journal of economics and finance : a journal of financial economics studies
11
International review of financial analysis
10
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10
Research in international business and finance
10
Risks : open access journal
10
Applied economics letters
9
International review of economics & finance : IREF
9
Journal of risk and financial management : JRFM
9
Econometrics : open access journal
8
Journal of banking & finance
8
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
7
Insurance / Mathematics & economics
6
International Journal of Financial Studies : open access journal
6
Journal of applied econometrics
6
Management science : journal of the Institute for Operations Research and the Management Sciences
6
International Journal of Energy Economics and Policy : IJEEP
5
Journal of financial econometrics
5
Macroeconomic dynamics
5
Review of quantitative finance and accounting
5
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
4
Global finance journal
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International journal of economics and finance
4
International journal of emerging markets
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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
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:
5
Bayesian non-linear quantile effects on modelling realized kernels
Dong, Manh Cuong
;
Chen, Cathy W. S.
;
Asai, Manabu
- In:
International journal of finance & economics : IJFE
28
(
2023
)
1
,
pp. 981-995
Persistent link: https://www.econbiz.de/10014253335
Saved in:
6
The euro to dollar exchange rate in the Covid-19 era : evidence from spectral causality and Markov-switching estimation
Konstantakis, Konstantinos N.
;
Melissaropoulos, Ioannis G.
- In:
International journal of finance & economics : IJFE
28
(
2023
)
2
,
pp. 2037-2055
Persistent link: https://www.econbiz.de/10014253649
Saved in:
7
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:
8
Effects of diamond price volatility on stock returns : evidence from a developing economy
Brou, Jean Marcelin Bosson
;
Mougoué, Mbodja
;
Kouassi, …
- In:
International journal of finance & economics : IJFE
27
(
2022
)
1
,
pp. 1025-1043
Persistent link: https://www.econbiz.de/10012814972
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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