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accessRights:"restricted"
~accessRights:"free"
~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of empirical finance"
~source:"econis"
~subject:"ARCH model"
~subject:"Aktienmarkt"
~subject:"Bayes-Statistik"
~subject:"Monte-Carlo-Simulation"
~subject:"Stochastischer Prozess"
~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
Stochastischer Prozess
Markov chain
57
Markov-Kette
57
Theorie
32
Theory
32
Estimation
25
Schätzung
25
Volatility
20
Volatilität
20
Bayesian inference
18
Monte Carlo simulation
18
Estimation theory
14
Schätztheorie
14
Börsenkurs
13
Share price
13
Stochastic process
10
Time series analysis
10
Zeitreihenanalyse
10
ARCH-Modell
9
Forecasting model
9
Markov chain Monte Carlo
9
Prognoseverfahren
9
Capital income
8
Kapitaleinkommen
8
Correlation
6
Korrelation
6
Sampling
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Statistical distribution
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VAR model
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VAR-Modell
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MCMC
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Li, Yong
4
Yu, Jun
4
Maheu, John M.
3
Jin, Xin
2
Yang, Qiao
2
Zeng, Tao
2
Agudze, Komla M.
1
Ahsan, Nazmul
1
Akram, Muhammad
1
Baldovin, Fulvio
1
Bauwens, Luc
1
Bec, Frédérique
1
BenSaïda, Ahmed
1
Bernardi, Mauro
1
Billio, Monica
1
Bognanni, Mark
1
Borowska, Agnieszka
1
Calvet, Laurent E.
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Caporin, Massimiliano
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Caraglio, Michele
1
Carriero, Andrea
1
Casarin, Roberto
1
Chan, Joshua
1
Clark, Todd E.
1
Constantinou, Nick
1
Creal, Drew
1
Dellaportas, Petros
1
Diewald, Laszlo
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Dijk, Dick van
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Dijk, Herman K. van
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Dufour, Jean-Marie
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Díaz-Hernández, Adán
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Fisher, Adlai
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Frühwirth-Schnatter, Sylvia
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Fulop, Andras
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Gallant, A. Ronald
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1
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Journal of econometrics
Journal of empirical finance
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
18
Risks : open access journal
18
Economic modelling
17
Applied economics
16
Computational economics
16
Journal of economic dynamics & control
16
Insurance / Mathematics & economics
15
Operations research
14
Economics letters
13
The North American journal of economics and finance : a journal of financial economics studies
13
International journal of production research
11
Journal of forecasting
11
Journal of risk and financial management : JRFM
11
Mathematics of operations research
11
Econometric reviews
10
International journal of theoretical and applied finance
10
International review of financial analysis
10
Econometrics : open access journal
9
International review of economics & finance : IREF
9
Research in international business and finance
9
Scandinavian actuarial journal
9
Management science : journal of the Institute for Operations Research and the Management Sciences
8
Applied economics letters
7
Journal of applied econometrics
7
Mathematical methods of operations research : ZOR
7
Operations research letters
7
Quantitative economics : QE ; journal of the Econometric Society
7
International Journal of Financial Studies : open access journal
6
Journal of banking & finance
6
Review of quantitative finance and accounting
6
The journal of futures markets
6
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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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
An empirical application of Particle Markov Chain Monte Carlo to frailty correlated default models
Nguyen, Ha
- In:
Journal of empirical finance
72
(
2023
),
pp. 103-121
Persistent link: https://www.econbiz.de/10014476811
Saved in:
5
A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks
Pollastri, Alessandro
;
Rodrigues, Paulo Jorge Maurício
; …
- In:
Journal of empirical finance
70
(
2023
),
pp. 322-341
Persistent link: https://www.econbiz.de/10014423714
Saved in:
6
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:
7
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:
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
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:
10
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
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