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accessRights:"restricted"
~accessRights:"free"
~isPartOf:"International review of financial analysis"
~isPartOf:"Journal of econometrics"
~source:"econis"
~subject:"ARCH model"
~subject:"Aktienmarkt"
~subject:"Bayes-Statistik"
~subject:"Monte-Carlo-Simulation"
~subject:"Stochastic process"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Sammlung"
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Search: subject_exact:"Markov chain"
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ARCH model
Aktienmarkt
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Markov chain
64
Markov-Kette
64
Estimation
32
Schätzung
32
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30
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Li, Yong
4
Yu, Jun
4
Jin, Xin
2
Kaufmann, Sylvia
2
Lee, Hsiang-Tai
2
Maheu, John M.
2
Mandal, Anandadeep
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Poshakwale, Sunil S.
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Zeng, Tao
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1
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International review of financial analysis
Journal of econometrics
European journal of operational research : EJOR
43
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
27
Quantitative finance
24
Energy economics
23
International journal of forecasting
21
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
20
Finance research letters
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Risks : open access journal
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Journal of economic dynamics & control
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Economics letters
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The North American journal of economics and finance : a journal of financial economics studies
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11
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Mathematics of operations research
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Applied economics letters
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Journal of applied econometrics
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Mathematical methods of operations research : ZOR
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Operations research letters
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Quantitative economics : QE ; journal of the Econometric Society
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International Journal of Financial Studies : open access journal
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Journal of banking & finance
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Review of quantitative finance and accounting
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The journal of futures markets
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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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
Jump-diffusion volatility models for variance swaps : an empirical performance analysis
Jin, Xing
;
Hong, Yi
- In:
International review of financial analysis
87
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014457699
Saved in:
5
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:
6
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:
7
A regime-switching real-time copula GARCH model for optimal futures hedging
Lee, Hsiang-Tai
;
Lee, Chien-chiang
- In:
International review of financial analysis
84
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013472897
Saved in:
8
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:
9
A three-tiered nested analytical approach to financial integration : the case of emerging and frontier equity markets
Cagliesi, Gabriella
;
Guidi, Francesco
- In:
International review of financial analysis
74
(
2021
),
pp. 1-29
Persistent link: https://www.econbiz.de/10012803928
Saved in:
10
Bank lending in Switzerland : driven by business models and exposed to uncertainty
Beutler, Toni
;
Gubler, Matthias
;
Hauri, Simona
; …
- In:
International review of financial analysis
78
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013255872
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