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accessRights:"restricted"
~isPartOf:"Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria"
~isPartOf:"Quantitative finance"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~subject:"Volatility"
~subject:"Zeitreihenanalyse"
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Volatility
Zeitreihenanalyse
Markov chain
67
Markov-Kette
67
Estimation
24
Schätzung
24
Theorie
24
Theory
24
Volatilität
20
Stochastic process
14
Stochastischer Prozess
14
Option pricing theory
13
Optionspreistheorie
13
Forecasting model
12
Portfolio selection
12
Portfolio-Management
12
Prognoseverfahren
12
ARCH model
11
ARCH-Modell
11
Monte Carlo simulation
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Monte-Carlo-Simulation
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Aktienmarkt
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Capital income
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Kapitaleinkommen
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Statistical distribution
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Statistische Verteilung
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Börsenkurs
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Share price
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Markov switching
7
Risikomaß
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Risk measure
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Bayes-Statistik
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Bayesian inference
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Business cycle
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Financial crisis
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Finanzkrise
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Konjunktur
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Markov regime switching
5
Multivariate Verteilung
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Arellano, Miguel Ataurima
1
Asmussen, Søren
1
Bian, Zhicun
1
Bladt, Mogens
1
Chang, Kuang-Liang
1
Chen, Miao-Ling
1
Chen, Naiwei
1
Chen, Sheng-tung
1
Cui, Zhenyu
1
Cuñado Eizaguirre, Juncal
1
Fan, Jiacheng
1
Felpel, Mike
1
Glocker, Christian
1
Gupta, Rangan
1
Guyon, Julien
1
Göncü, Ahmet
1
Hammoudeh, Shawkat
1
Hong, Hui
1
Hsieh, Fushing
1
Hsu, Ching-Chi
1
Huang, Mao-Lung
1
Ji, Qiang
1
Jiang, Yong
1
Karahan, Mehmet Oğuz
1
Khalifa, Ahmed A. A.
1
Khashanah, Khaldoun
1
Kienitz, Jörg
1
Kirikkaleli, Dervis
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Koh, You-Beng
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Kuzubaş, Tolga Umut
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Lekeufack, Jordan
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Liao, Shu-Yi
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Lin, Ling
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Liu, Bing-Yue
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Ma, Jingtang
1
MacKay, Anne
1
Manzano-Herrero, Alberto Pedro
1
McWalter, Thomas A.
1
Nastasi, Emanuele
1
Ng, Kok-Haur
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
Quantitative finance
The North American journal of economics and finance : a journal of financial economics studies
Energy economics
30
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
28
International journal of forecasting
21
Applied economics
17
Finance research letters
17
Journal of econometrics
17
Economic modelling
14
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
13
Computational economics
12
Economics letters
12
International review of economics & finance : IREF
11
International review of financial analysis
9
Journal of forecasting
9
Econometric reviews
8
Journal of banking & finance
8
Journal of economic dynamics & control
8
Journal of empirical finance
8
Applied economics letters
6
Macroeconomic dynamics
6
International journal of finance & economics : IJFE
5
International journal of financial engineering
5
International journal of theoretical and applied finance
5
Research in international business and finance
5
Review of quantitative finance and accounting
5
The European journal of finance
5
Discussion paper / Centre for Economic Policy Research
4
European journal of operational research : EJOR
4
International journal of emerging markets
4
Journal of applied econometrics
4
The journal of futures markets
4
Annals of finance
3
Applied mathematical finance
3
Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets
3
Empirical economics : a quarterly journal of the Institute for Advanced Studies
3
Global finance journal
3
Insurance / Mathematics & economics
3
International journal of theoretical and applied finance : IJTAF
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ECONIS (ZBW)
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1
Pricing commodity index options
Manzano-Herrero, Alberto Pedro
;
Nastasi, Emanuele
; …
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 297-308
Persistent link: https://www.econbiz.de/10014232638
Saved in:
2
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
MacKay, Anne
;
Vachon, Marie-Claude
;
Cui, Zhenyu
- In:
Quantitative finance
23
(
2023
)
7/8
,
pp. 1055-1078
Persistent link: https://www.econbiz.de/10014321664
Saved in:
3
Volatility is (mostly) path-dependent
Guyon, Julien
;
Lekeufack, Jordan
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1221-1258
Persistent link: https://www.econbiz.de/10014339908
Saved in:
4
Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model
Khashanah, Khaldoun
;
Shao, Chenjie
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 241-253
Persistent link: https://www.econbiz.de/10013167735
Saved in:
5
Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
Asmussen, Søren
;
Bladt, Mogens
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 675-689
Persistent link: https://www.econbiz.de/10013367850
Saved in:
6
Unraveling S&P500 stock volatility and networks : an encoding-and-decoding approach
Wang, Xiaodong
;
Hsieh, Fushing
- In:
Quantitative finance
22
(
2022
)
5
,
pp. 997-1016
Persistent link: https://www.econbiz.de/10013367879
Saved in:
7
Effective Markovian projection : application to CMS spread options and mid-curve swaptions
Felpel, Mike
;
Kienitz, Jörg
;
McWalter, Thomas A.
- In:
Quantitative finance
22
(
2022
)
6
,
pp. 1169-1192
Persistent link: https://www.econbiz.de/10013367891
Saved in:
8
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:
9
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:
10
Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models
Arellano, Miguel Ataurima
;
Perez Rodriguez, Gabriel
- In:
The North American journal of economics and finance : a …
52
(
2020
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012654810
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