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accessRights:"restricted"
~accessRights:"free"
~isPartOf:"Journal of empirical finance"
~subject:"ARCH model"
~subject:"Estimation"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Markov chain"
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ARCH model
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Markov chain
16
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16
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11
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7
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Aufsatz in Zeitschrift
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BenSaïda, Ahmed
1
Bernardi, Mauro
1
Constantinou, Nick
1
Deng, Kaihua
1
Díaz-Hernández, Adán
1
Kleppe, Tore Selland
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Li, Leon
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Maheu, John M.
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Miu, Peter
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Oglend, Atle
1
Pan, Zhiyuan
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Wang, Yudong
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Journal of empirical finance
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
30
Applied economics
24
Energy economics
23
Journal of econometrics
20
International journal of forecasting
17
Economic modelling
15
International review of financial analysis
15
Journal of economic dynamics & control
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Applied economics letters
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The North American journal of economics and finance : a journal of financial economics studies
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International review of economics & finance : IREF
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Macroeconomic dynamics
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Research in international business and finance
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Journal of risk and financial management : JRFM
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International journal of finance & economics : IJFE
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Journal of applied econometrics
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The European journal of finance
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Cogent economics & finance
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Econometric reviews
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International Journal of Financial Studies : open access journal
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Risks : open access journal
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European journal of operational research : EJOR
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International journal of economics and finance
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Review of quantitative finance and accounting
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International journal of emerging markets
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ECONIS (ZBW)
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1
Are cryptocurrencies a safe haven for stock investors? : a regime-switching approach
Li, Leon
;
Miu, Peter
- In:
Journal of empirical finance
70
(
2023
),
pp. 367-385
Persistent link: https://www.econbiz.de/10014423734
Saved in:
2
A multiple regime extension to the Heston–Nandi GARCH(1,1) model
Díaz-Hernández, Adán
;
Constantinou, Nick
- In:
Journal of empirical finance
53
(
2019
),
pp. 162-180
Persistent link: https://www.econbiz.de/10012171628
Saved in:
3
Multiple risk measures for multivariate dynamic heavy-tailed models
Bernardi, Mauro
;
Maruotti, Antonello
;
Petrella, Lea
- In:
Journal of empirical finance
43
(
2017
),
pp. 1-32
Persistent link: https://www.econbiz.de/10011817885
Saved in:
4
Oil price volatility and macroeconomic fundamentals : a regime switching GARCH-MIDAS model
Pan, Zhiyuan
;
Wang, Yudong
;
Wu, Chongfeng
;
Yin, Libo
- In:
Journal of empirical finance
43
(
2017
),
pp. 130-142
Persistent link: https://www.econbiz.de/10011817944
Saved in:
5
A test of asymmetric comovement for state-dependent stock returns
Deng, Kaihua
- In:
Journal of empirical finance
36
(
2016
),
pp. 68-85
Persistent link: https://www.econbiz.de/10011662752
Saved in:
6
An infinite hidden Markov model for short-term interest rates
Maheu, John M.
;
Yang, Qiao
- In:
Journal of empirical finance
38
(
2016
),
pp. 202-220
Persistent link: https://www.econbiz.de/10011663269
Saved in:
7
How regular are directional movements in commodity and asset prices? : a Wald test
Oglend, Atle
;
Kleppe, Tore Selland
- In:
Journal of empirical finance
38
(
2016
),
pp. 290-306
Persistent link: https://www.econbiz.de/10011664705
Saved in:
8
The frequency of regime switching in financial market volatility
BenSaïda, Ahmed
- In:
Journal of empirical finance
32
(
2015
),
pp. 63-79
Persistent link: https://www.econbiz.de/10011556784
Saved in:
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