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accessRights:"restricted"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Macroeconomic dynamics"
~isPartOf:"Quantitative finance"
~language:"eng"
~subject:"Business cycle"
~subject:"DSGE model"
~subject:"Theory"
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Business cycle
DSGE model
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Markov chain
62
Markov-Kette
62
Theorie
38
Estimation
24
Schätzung
24
Volatility
18
Volatilität
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Serletis, Apostolos
3
Xu, Libo
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Bernardi, Mauro
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Chen, Qian
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Gerlach, Richard
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Sornette, Didier
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Journal of empirical finance
Macroeconomic dynamics
Quantitative finance
European journal of operational research : EJOR
89
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
29
International journal of production research
27
Operations research letters
26
Mathematics of operations research
25
Economics letters
24
Operations research
24
Journal of econometrics
22
Journal of economic dynamics & control
21
Insurance / Mathematics & economics
20
Computers & operations research : and their applications to problems of world concern ; an international journal
18
International journal of forecasting
18
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Discussion paper / Centre for Economic Policy Research
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Computational economics
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Operational research : an international journal
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11
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Scandinavian actuarial journal
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IMA journal of management mathematics
10
Journal of the Operational Research Society
10
Econometric reviews
9
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
9
International journal of production economics
9
International review of financial analysis
9
Journal of banking & finance
9
International review of economics & finance : IREF
8
Journal of forecasting
8
Opsearch : journal of the Operational Research Society of India
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SpringerLink / Bücher
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Journal of mathematical finance
7
Working paper / National Bureau of Economic Research, Inc.
7
Applied economics letters
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Finance and stochastics
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International journal of theoretical and applied finance
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1
An empirical application of Particle Markov Chain Monte Carlo to frailty correlated default models
Nguyen, Ha
- In:
Journal of empirical finance
72
(
2023
),
pp. 103-121
Persistent link: https://www.econbiz.de/10014476811
Saved in:
2
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
Saved in:
3
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
Wang, Chao
;
Gerlach, Richard
;
Chen, Qian
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 309-334
Persistent link: https://www.econbiz.de/10014232647
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
Dependence structure between money and economic activity : a Markov-switching copula VEC approach
Serletis, Apostolos
;
Xu, Libo
- In:
Macroeconomic dynamics
26
(
2022
)
8
,
pp. 2141-2160
Persistent link: https://www.econbiz.de/10013469790
Saved in:
6
Timing and signals of monetary regime switching
Soques, Daniel
- In:
Macroeconomic dynamics
26
(
2022
)
4
,
pp. 885-919
Persistent link: https://www.econbiz.de/10013270220
Saved in:
7
Bayesian estimation of electricity price risk with a multi-factor mixture of densities
Kang, Li
;
Walker, Stephen G.
;
Damien, Paul
;
Bunn, Derek W.
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1535-1544
Persistent link: https://www.econbiz.de/10013367927
Saved in:
8
An N-state endogenous Markov-switching model with applications in macroeconomics and finance
Hwu, Shih-Tang
;
Kim, Chang-jin
;
Piger, Jeremy Max
- In:
Macroeconomic dynamics
25
(
2021
)
8
,
pp. 1937-1965
Persistent link: https://www.econbiz.de/10012704929
Saved in:
9
Volatility cascades in cryptocurrency trading
Gradojevic, Nikola
;
Tsiakas, Ilias
- In:
Journal of empirical finance
62
(
2021
),
pp. 252-265
Persistent link: https://www.econbiz.de/10012693424
Saved in:
10
Consumption, leisure, and money
Serletis, Apostolos
;
Xu, Libo
- In:
Macroeconomic dynamics
25
(
2021
)
6
,
pp. 1412-1441
Persistent link: https://www.econbiz.de/10012618219
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