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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:"Stochastischer Prozess"
~type_genre:"Article in journal"
~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
41
Markov-Kette
41
Theorie
21
Theory
21
Estimation
18
Schätzung
18
Bayesian inference
16
Monte Carlo simulation
15
Estimation theory
14
Schätztheorie
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Markov chain Monte Carlo
9
Stochastic process
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Forecasting model
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ARCH-Modell
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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
Billio, Monica
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Bognanni, Mark
1
Borowska, Agnieszka
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Chan, Joshua
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Clark, Todd E.
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Dellaportas, Petros
1
Dijk, Dick van
1
Dijk, Herman K. van
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Dufour, Jean-Marie
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Eisenstat, Eric
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Fearnley, Marcus
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Fisher, Adlai
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Hoogerheide, Lennart
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Jacobi, Liana
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Kalli, Maria
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Journal of econometrics
European journal of operational research : EJOR
43
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
24
Energy economics
23
Quantitative finance
23
International journal of forecasting
21
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
20
Risks : open access journal
18
Economic modelling
17
Applied economics
16
Computational economics
16
Finance research letters
16
Insurance / Mathematics & economics
15
Journal of economic dynamics & control
15
Economics letters
13
Operations research
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The North American journal of economics and finance : a journal of financial economics studies
13
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
Journal of empirical finance
10
Journal of forecasting
10
International review of economics & finance : IREF
9
Research in international business and finance
9
Scandinavian actuarial journal
9
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8
International journal of production research
8
Applied economics letters
7
Management science : journal of the Institute for Operations Research and the Management Sciences
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 applied econometrics
6
Journal of banking & finance
6
Review of quantitative finance and accounting
6
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
5
Finance and stochastics
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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
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:
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
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
Modelling regional patterns of inefficiency : a Bayesian approach to geoadditive panel stochastic frontier analysis with an application to cereal production in England and Wales
Klein, Nadja
;
Herwartz, Helmut
;
Kneib, Thomas
- In:
Journal of econometrics
214
(
2020
)
2
,
pp. 513-539
Persistent link: https://www.econbiz.de/10012439076
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