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accessRights:"restricted"
~isPartOf:"Global finance journal"
~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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Search: subject_exact:"Markov chain"
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Volatility
Zeitreihenanalyse
Markov chain
58
Markov-Kette
58
Theorie
24
Theory
24
Volatilität
20
Estimation
17
Schätzung
17
Stochastic process
14
Stochastischer Prozess
14
Forecasting model
13
Option pricing theory
13
Optionspreistheorie
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Portfolio selection
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Portfolio-Management
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Prognoseverfahren
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ARCH model
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ARCH-Modell
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Capital income
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Kapitaleinkommen
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Börsenkurs
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Monte Carlo simulation
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Monte-Carlo-Simulation
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Share price
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Statistical distribution
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Statistische Verteilung
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Aktienmarkt
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Stock market
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Risikomaß
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Risk measure
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Markov regime switching
5
Markov switching
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Multivariate Verteilung
5
Multivariate distribution
5
Spillover effect
5
Spillover-Effekt
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Bayes-Statistik
4
Bayesian inference
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Hidden Markov model
4
Markov chain Monte Carlo
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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
Cui, Zhenyu
1
Cuñado Eizaguirre, Juncal
1
Fan, Jiacheng
1
Felpel, Mike
1
Fereydooni, Ali
1
Gupta, Rangan
1
Guyon, Julien
1
Göncü, Ahmet
1
Hammoudeh, Shawkat
1
Hong, Hui
1
Hsieh, Fushing
1
Hsu, Ching-Chi
1
Ji, Qiang
1
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1
Karahan, Mehmet Oğuz
1
Khalifa, Ahmed A. A.
1
Khashanah, Khaldoun
1
Kienitz, Jörg
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Mahootchi, Masoud
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Manzano-Herrero, Alberto Pedro
1
McWalter, Thomas A.
1
Nastasi, Emanuele
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Ng, Kok-Haur
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Global finance journal
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
27
International journal of forecasting
21
Applied economics
17
Journal of econometrics
17
Finance research letters
16
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
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
4
European journal of operational research : EJOR
4
International journal of emerging markets
4
Annals of finance
3
Applied mathematical finance
3
Emerging markets, finance and trade : EMFT
3
Empirical economics : a quarterly journal of the Institute for Advanced Studies
3
Insurance / Mathematics & economics
3
International journal of theoretical and applied finance : IJTAF
3
Journal of applied econometrics
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Journal of financial econometrics
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ECONIS (ZBW)
23
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1
An algorithmic trading system based on a stacked generalization model and hidden Markov model in the foreign exchange market
Fereydooni, Ali
;
Mahootchi, Masoud
- In:
Global finance journal
56
(
2023
),
pp. 1-24
Persistent link: https://www.econbiz.de/10014478899
Saved in:
2
Cross-sector comovements and policy impact in the COVID-19 stock market : a dynamic factor approach
Yang, Joy D. Xiuyao
- In:
Global finance journal
56
(
2023
),
pp. 1-33
Persistent link: https://www.econbiz.de/10014478952
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
Optimal portfolio diversification with a multi-chain regime-switching spillover GARCH model
Lee, Chien-chiang
;
Lee, Hsiang-Tai
- In:
Global finance journal
55
(
2023
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014248631
Saved in:
5
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:
6
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:
7
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:
8
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:
9
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:
10
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
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