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accessRights:"restricted"
~isPartOf:"Economics letters"
~isPartOf:"International journal of financial engineering"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~subject:"Markov regime switching"
~subject:"Multivariate distribution"
~subject:"Stock market"
~subject:"Volatility"
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Search: subject_exact:"Markov chain"
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Markov regime switching
Multivariate distribution
Stock market
Volatility
Markov chain
61
Markov-Kette
60
Theorie
22
Theory
22
Volatilität
22
Estimation
18
Schätzung
18
Time series analysis
12
Zeitreihenanalyse
12
ARCH model
11
ARCH-Modell
11
Business cycle
11
Konjunktur
11
Monte Carlo simulation
11
Monte-Carlo-Simulation
11
Stochastic process
11
Stochastischer Prozess
11
Forecasting model
9
Prognoseverfahren
9
Option pricing theory
8
Optionspreistheorie
8
Bayes-Statistik
7
Bayesian inference
7
Estimation theory
7
Schätztheorie
7
Markov switching
6
Aktienmarkt
5
Capital income
5
Kapitaleinkommen
5
Markov chain Monte Carlo
5
Business cycles
4
Markov Chain Monte Carlo
4
Markov-switching
4
Multivariate Verteilung
4
Portfolio selection
4
Portfolio-Management
4
Spillover effect
4
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27
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English
27
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Chang, Kuang-Liang
2
Dimitrakopoulos, Stefanos
2
Serletis, Apostolos
2
Xu, Libo
2
Arellano, Miguel Ataurima
1
Augustyniak, Maciej
1
Bian, Zhicun
1
Chan, Leunglung
1
Chen, Miao-Ling
1
Chen, Naiwei
1
Cuñado Eizaguirre, Juncal
1
Das, Debojyoti
1
Das, Milan Kumar
1
Dufays, Arnaud
1
Dutta, Anupam
1
Fan, Jiacheng
1
Goswami, Anindya
1
Gupta, Rangan
1
Göncü, Ahmet
1
Hammoudeh, Shawkat
1
Hong, Hui
1
Hsu, Ching-Chi
1
Ji, Qiang
1
Jiang, Yong
1
Jiang, Yu
1
Karahan, Mehmet Oğuz
1
Khalifa, Ahmed A. A.
1
Kirikkaleli, Dervis
1
Koh, You-Beng
1
Koutmos, Dimitrios
1
Kuzubaş, Tolga Umut
1
Li, Jiao
1
Lin, Ling
1
Liu, Bing-Yue
1
Liu, David
1
Liu, Lulu
1
Ma, Jingtang
1
Ng, Kok-Haur
1
Ng, Kooi-Huat
1
Nguyen, Duy
1
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Economics letters
International journal of financial engineering
The North American journal of economics and finance : a journal of financial economics studies
Energy economics
29
Finance research letters
18
Applied economics
15
Journal of econometrics
15
International review of financial analysis
14
Economic modelling
13
International journal of forecasting
13
Quantitative finance
13
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
10
Computational economics
9
Journal of empirical finance
9
Journal of economic dynamics & control
8
Research in international business and finance
7
The European journal of finance
7
Applied economics letters
6
European journal of operational research : EJOR
6
International journal of theoretical and applied finance
6
Journal of banking & finance
6
Econometric reviews
5
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
5
Journal of forecasting
5
Review of quantitative finance and accounting
5
The journal of futures markets
5
Applied mathematical finance
4
Empirical economics : a quarterly journal of the Institute for Advanced Studies
4
Global finance journal
4
Insurance / Mathematics & economics
4
International journal of emerging markets
4
International journal of finance & economics : IJFE
4
Macroeconomic dynamics
4
Annals of finance
3
Discussion paper / Centre for Economic Policy Research
3
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
3
Journal of international money and finance
3
Journal of mathematical finance
3
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ECONIS (ZBW)
27
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1
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:
2
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:
3
Identification of business cycles and the Great Moderation in the post-war U.S. economy
Jiang, Yu
- In:
Economics letters
190
(
2020
),
pp. 1-5
Persistent link: https://www.econbiz.de/10012228144
Saved in:
4
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:
5
An investigation on mixed housing-cycle structures and asymmetric tail dependences
Chang, Kuang-Liang
- In:
The North American journal of economics and finance : a …
51
(
2020
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012658920
Saved in:
6
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:
7
Contagion effects and risk transmission channels in the housing, stock, interest rate and currency markets : an Empirical Study in China and the U.S.
Wang, Peiwan
;
Zong, Lu
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-24
Persistent link: https://www.econbiz.de/10012665486
Saved in:
8
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:
9
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
Saved in:
10
Bitcoin's energy consumption : is it the Achilles heel to miner's revenue?
Das, Debojyoti
;
Dutta, Anupam
- In:
Economics letters
186
(
2020
),
pp. 1-6
Persistent link: https://www.econbiz.de/10012503763
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