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accessRights:"restricted"
~accessRights:"free"
~isPartOf:"Journal of econometrics"
~source:"econis"
~subject:"ARCH model"
~subject:"Aktienmarkt"
~subject:"Bayes-Statistik"
~subject:"Monte-Carlo-Simulation"
~subject:"Schätzung"
~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
Schätzung
Markov chain
41
Markov-Kette
41
Theorie
21
Theory
21
Estimation
18
Bayesian inference
16
Monte Carlo simulation
15
Estimation theory
14
Schätztheorie
14
Volatility
13
Volatilität
13
Markov chain Monte Carlo
9
Stochastic process
8
Stochastischer Prozess
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Time series analysis
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Zeitreihenanalyse
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Börsenkurs
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Forecasting model
6
Prognoseverfahren
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Share price
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ARCH-Modell
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Correlation
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Korrelation
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Panel
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Panel study
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Li, Yong
4
Yu, Jun
4
Jin, Xin
2
Maheu, John M.
2
Zeng, Tao
2
Agudze, Komla M.
1
Ahsan, Nazmul
1
Akram, Muhammad
1
Baldovin, Fulvio
1
Bauwens, Luc
1
Bianchi, Francesco
1
Billio, Monica
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Bognanni, Mark
1
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Borowska, Agnieszka
1
Calvet, Laurent E.
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Caporin, Massimiliano
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Caraglio, Michele
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Carriero, Andrea
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Casarin, Roberto
1
Catania, Leopoldo
1
Chan, Joshua
1
Chang, Yoosoon
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Choi, Yongok
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Clark, Todd E.
1
Creal, Drew
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Dellaportas, Petros
1
Di Mari, Roberto
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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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Fulop, Andras
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Gallant, A. Ronald
1
Golombek, Rolf
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Journal of econometrics
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
39
Energy economics
29
International journal of forecasting
26
Applied economics
25
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
21
Economic modelling
19
Quantitative finance
17
Economics letters
16
Finance research letters
16
International review of financial analysis
16
Journal of economic dynamics & control
16
Applied economics letters
15
European journal of operational research : EJOR
15
The North American journal of economics and finance : a journal of financial economics studies
15
Risks : open access journal
14
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
13
Journal of empirical finance
13
Journal of risk and financial management : JRFM
13
Research in international business and finance
13
Journal of forecasting
12
Econometric reviews
11
Computational economics
10
Econometrics : open access journal
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International review of economics & finance : IREF
10
Macroeconomic dynamics
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Journal of applied econometrics
9
Journal of banking & finance
9
Cogent economics & finance
7
International Journal of Financial Studies : open access journal
7
International journal of finance & economics : IJFE
7
Review of quantitative finance and accounting
7
The European journal of finance
7
Insurance / Mathematics & economics
6
Management science : journal of the Institute for Operations Research and the Management Sciences
6
Empirical economics : a quarterly journal of the Institute for Advanced Studies
5
International journal of economics and finance
5
International journal of production research
5
Scandinavian actuarial journal
5
The journal of futures markets
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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
Hierarchical Markov-switching models for multivariate integer-valued time-series
Catania, Leopoldo
;
Di Mari, Roberto
- In:
Journal of econometrics
221
(
2021
)
1
,
pp. 118-137
Persistent link: https://www.econbiz.de/10012618804
Saved in:
8
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:
9
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:
10
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
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