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accessRights:"restricted"
~accessRights:"free"
~person:"Bauwens, Luc"
~person:"Li, Leon"
~subject:"ARCH model"
~type_genre:"Aufsatz in Zeitschrift"
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ARCH model
Markov chain
8
Markov-Kette
8
Volatility
7
Volatilität
7
ARCH-Modell
5
Börsenkurs
4
Correlation
4
Korrelation
4
Share price
4
Estimation
3
Markov-switching model
3
Schätzung
3
Aktienmarkt
2
Capital income
2
Dynamic conditional correlations
2
Estimation theory
2
Forecasting
2
Forecasting model
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Kapitaleinkommen
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Portfolio selection
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Bayes-Statistik
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Aufsatz in Zeitschrift
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Bauwens, Luc
Li, Leon
Lee, Hsiang-Tai
7
Ma, Feng
6
Chang, Kuang-Liang
5
Lu, Xinjie
4
Otranto, Edoardo
4
Serletis, Apostolos
4
Shi, Yanlin
4
Xu, Libo
4
Chen, Cathy W. S.
3
Dimitrakopoulos, Stefanos
3
Gupta, Rangan
3
Lee, Chien-chiang
3
Wang, Jiqian
3
Wilfling, Bernd
3
Asai, Manabu
2
Balcilar, Mehmet
2
BenSaïda, Ahmed
2
Blazsek, Szabolcs
2
Casarin, Roberto
2
Cavicchioli, Maddalena
2
Dufays, Arnaud
2
Feng, Lingbing
2
Gerlach, Richard
2
Haas, Markus
2
Hammoudeh, Shawkat
2
Ho, Kin-Yip
2
Hu, Liang
2
Kandemir Kocaaslan, Ozge
2
Kim, Young Shin
2
Li, Tao
2
Luo, Jiawen
2
Maheu, John M.
2
Maruotti, Antonello
2
Muteba Mwamba, John
2
Osuntuyi, Anthony
2
Segnon, Mawuli
2
Wahab, M. I. M.
2
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of econometrics
1
Research in international business and finance
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
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ECONIS (ZBW)
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1
The co-integration of CDS and bonds in time-varying volatility dynamics : do credit risk swaps lower bond risks?
Li, Leon
;
Scrimgeour, Frank G.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
3
,
pp. 475-497
Persistent link: https://www.econbiz.de/10013334844
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2
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:
3
A new approach to volatility modeling : the factorial hidden Markov volatility model
Augustyniak, Maciej
;
Bauwens, Luc
;
Dufays, Arnaud
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
4
,
pp. 696-709
Persistent link: https://www.econbiz.de/10012179366
Saved in:
4
Dynamic correlations and domestic-global diversification
Li, Leon
- In:
Research in international business and finance
39
(
2017
),
pp. 280-290
Persistent link: https://www.econbiz.de/10011876476
Saved in:
5
Modeling the dependence of conditional correlations on market volatility
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
2
,
pp. 254-268
Persistent link: https://www.econbiz.de/10011691329
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