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accessRights:"restricted"
~isPartOf:"Applied economics letters"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~subject:"Markov regime switching"
~subject:"Stock market"
~subject:"Volatility"
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Search: subject_exact:"Markov chain"
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Markov regime switching
Stock market
Volatility
Markov chain
41
Markov-Kette
41
Estimation
17
Schätzung
17
Volatilität
14
ARCH model
10
ARCH-Modell
10
Aktienmarkt
8
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8
Kapitaleinkommen
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Oil price
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Spillover effect
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Time series analysis
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Stochastischer Prozess
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Chen, Miao-Ling
2
Hsu, Ching-Chi
2
Arellano, Miguel Ataurima
1
Azhar Mohamad
1
Bian, Zhicun
1
Caputo, Rodrigo
1
Chang, Kuang-Liang
1
Chen, Naiwei
1
Cuñado Eizaguirre, Juncal
1
Fan, Jiacheng
1
Gupta, Rangan
1
Göncü, Ahmet
1
Hammoudeh, Shawkat
1
Hong, Hui
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Inani, Sarveshwar Kumar
1
Ji, Qiang
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Jiang, Yong
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Khalifa, Ahmed A. A.
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Kim, Young Min
1
Kirikkaleli, Dervis
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1
Kuzubaş, Tolga Umut
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Ou, Yangchen
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Ramchander, Sanjay
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Applied economics letters
The North American journal of economics and finance : a journal of financial economics studies
Energy economics
29
Finance research letters
20
Applied economics
15
International review of financial analysis
14
Journal of econometrics
14
International journal of forecasting
13
Economic modelling
12
Quantitative finance
12
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
12
International review of economics & finance : IREF
10
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
9
Computational economics
8
Economics letters
8
Journal of economic dynamics & control
8
Journal of empirical finance
8
The European journal of finance
7
Journal of banking & finance
6
Research in international business and finance
6
Econometric reviews
5
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
5
International journal of financial engineering
5
International journal of theoretical and applied finance
5
Journal of forecasting
5
Review of quantitative finance and accounting
5
The journal of futures markets
5
Empirical economics : a quarterly journal of the Institute for Advanced Studies
4
Global finance journal
4
International journal of emerging markets
4
International journal of finance & economics : IJFE
4
Annals of finance
3
Applied mathematical finance
3
Discussion paper / Centre for Economic Policy Research
3
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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European journal of operational research : EJOR
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Insurance / Mathematics & economics
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Journal of international money and finance
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Journal of mathematical finance
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ECONIS (ZBW)
17
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1
Wars, cartels and COVID-19 : regime switching in commodity prices
Caputo, Rodrigo
;
Ordóñez, Félix
- In:
Applied economics letters
31
(
2024
)
4
,
pp. 338-345
Persistent link: https://www.econbiz.de/10014468840
Saved in:
2
Price discovery in bitcoin spot or futures during the Covid-19 pandemic? : Evidence from the time-varying parameter vector autoregressive model with stochastic volatility
Azhar Mohamad
;
Inani, Sarveshwar Kumar
- In:
Applied economics letters
30
(
2023
)
19
,
pp. 2749-2757
Persistent link: https://www.econbiz.de/10014368575
Saved in:
3
Volatility spillovers across financial markets : the role of oil price uncertainty
Lee, Seojin
;
Kim, Young Min
- In:
Applied economics letters
30
(
2023
)
17
,
pp. 2342-2347
Persistent link: https://www.econbiz.de/10014365776
Saved in:
4
Newspaper-based equity uncertainty or implied volatility index : new evidence from oil market volatility predictability
Lu, Xinjie
;
Ma, Feng
;
Li, Pan
;
Li, Tao
- In:
Applied economics letters
30
(
2023
)
7
,
pp. 960-964
Persistent link: https://www.econbiz.de/10014303607
Saved in:
5
Dynamic volatility modelling of Bitcoin using time-varying transition probability Markov-switching GARCH model
Tan, Chia-Yen
;
Koh, You-Beng
;
Ng, Kok-Haur
;
Ng, Kooi-Huat
- In:
The North American journal of economics and finance : a …
56
(
2021
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012821468
Saved in:
6
Risk spillovers and hedge strategies between global crude oil markets and stock markets : do regime switching processes combining long memory and asymmetry matter?
Lin, Ling
;
Zhou, Zhongbao
;
Jiang, Yong
;
Ou, Yangchen
- In:
The North American journal of economics and finance : a …
57
(
2021
),
pp. 1-25
Persistent link: https://www.econbiz.de/10012822126
Saved in:
7
Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching : evidence from over a century of data
Ji, Qiang
;
Liu, Bing-Yue
;
Cuñado Eizaguirre, Juncal
; …
- In:
The North American journal of economics and finance : a …
51
(
2020
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012658792
Saved in:
8
The effect of domestic and foreign risks on an emerging stock market : a time series analysis
Kirikkaleli, Dervis
- In:
The North American journal of economics and finance : a …
51
(
2020
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012658975
Saved in:
9
Funding liquidity risk and the low-volatility anomaly : evidence from the Taiwan stock market
Hsu, Ching-Chi
;
Wei, An-Pin
;
Chen, Miao-Ling
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-23
Persistent link: https://www.econbiz.de/10012665989
Saved in:
10
Leverage effect on stochastic volatility for option pricing in Hong Kong : a simulation and empirical study
Hong, Hui
;
Bian, Zhicun
;
Chen, Naiwei
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012666125
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