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accessRights:"restricted"
~accessRights:"free"
~source:"econis"
~subject:"ARCH model"
~subject:"Aktienmarkt"
~subject:"Bayes-Statistik"
~subject:"Monte-Carlo-Simulation"
~subject:"Time series analysis"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Sammlung"
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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International journal of forecasting
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International Journal of Energy Economics and Policy : IJEEP
5
Journal of financial econometrics
5
Macroeconomic dynamics
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Review of quantitative finance and accounting
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Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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International journal of economics and finance
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ECONIS (ZBW)
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91
Price discovery in equity markets : a state-dependent analysis of spot and futures markets
Kuck, Konstantin
;
Schweikert, Karsten
- In:
Journal of banking & finance
149
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014462550
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92
Sequential Bayesian analysis for semiparametric stochastic volatility model with applications
Wang, Nianling
;
Lou, Zhusheng
- In:
Economic modelling
123
(
2023
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014462582
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93
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
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94
Estimating outcomes in the presence of endogeneity and measurement error with an application to R&D
De Silva, Dakshina G.
;
Hubbard, Timothy P.
;
Schiller, …
- In:
The quarterly review of economics and finance : journal …
88
(
2023
),
pp. 278-294
Persistent link: https://www.econbiz.de/10014428069
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95
A regime-switching model of stock returns with momentum and mean reversion
Giner, Javier
;
Zakamulin, Valeriy
- In:
Economic modelling
122
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014388630
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96
Score-driven multi-regime Markov-switching EGARCH : empirical evidence using the Meixner distribution
Blazsek, Szabolcs
;
Haddad, Michel Ferreira Cardia
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
4
,
pp. 589-634
Persistent link: https://www.econbiz.de/10014372917
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97
Markov chain Monte Carlo approach to the analysis of response patterns in data collection process
Chun, Young H.
;
Watson, Edward
- In:
INFOR : information systems and operational research
61
(
2023
)
4
,
pp. 509-529
Persistent link: https://www.econbiz.de/10014393004
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98
Rough-heston local-volatility model
Dall'acqua, Enrico
;
Longoni, Riccardo
;
Pallavicini, Andrea
- In:
International journal of theoretical and applied …
26
(
2023
)
6/7
,
pp. 1-18
Persistent link: https://www.econbiz.de/10014500191
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99
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:
100
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
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