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accessRights:"restricted"
~person:"Asai, Manabu"
~person:"Chang, Kuang-Liang"
~person:"Chen, Cathy W. S."
~person:"Dufays, Arnaud"
~person:"Guérin, Pierre"
~subject:"Bayesian inference"
~subject:"Crude oil"
~subject:"Theorie"
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Search: subject_exact:"Markov chain"
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Bayesian inference
Crude oil
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Markov chain
22
Markov-Kette
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16
ARCH model
11
ARCH-Modell
11
Estimation
11
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Asai, Manabu
Chang, Kuang-Liang
Chen, Cathy W. S.
Dufays, Arnaud
Guérin, Pierre
Tsionas, Efthymios G.
16
Casarin, Roberto
8
Serletis, Apostolos
8
Feinberg, Eugene A.
7
Xu, Libo
7
Billio, Monica
6
Cavicchioli, Maddalena
6
Elliott, Robert J.
6
Goyal, Vineet
6
Li, Yong
6
Houtum, Geert-Jan van
5
Lunday, Brian J.
5
Marcellino, Massimiliano
5
Robbins, Matthew J.
5
Siu, Tak Kuen
5
Arts, Joachim
4
Creemers, Stefan
4
Cui, Lirong
4
D'Amico, Guglielmo
4
Dimitrakopoulos, Stefanos
4
Foerster, Andrew
4
Gerlach, Richard
4
Gupta, Rangan
4
Kang, Kyu Ho
4
Lee, Hsiang-Tai
4
Lesage, James P.
4
Maheu, John M.
4
Wang, Chao
4
Yang, Hailiang
4
Yang, Qiao
4
Zhang, Hao
4
Zhang, Xibin
4
Assaf, A. Georges
3
Badescu, Andrei L.
3
Bianchi, Francesco
3
Boute, Robert N.
3
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Economics letters
2
Journal of forecasting
2
The North American journal of economics and finance : a journal of financial economics studies
2
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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ECONIS (ZBW)
18
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1
Bayesian non-linear quantile effects on modelling realized kernels
Dong, Manh Cuong
;
Chen, Cathy W. S.
;
Asai, Manabu
- In:
International journal of finance & economics : IJFE
28
(
2023
)
1
,
pp. 981-995
Persistent link: https://www.econbiz.de/10014253335
Saved in:
2
The low-magnitude and high-magnitude asymmetries in tail dependence structures in international equity markets and the role of bilateral exchange rate
Chang, Kuang-Liang
- In:
Journal of international money and finance
133
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014304729
Saved in:
3
Bayesian analysis of realized matrix-exponential GARCH models
Asai, Manabu
;
McAleer, Michael
- In:
Computational economics
59
(
2022
)
1
,
pp. 103-123
Persistent link: https://www.econbiz.de/10013168928
Saved in:
4
Heterogeneous switching in FAVAR models
Guérin, Pierre
;
Leiva-León, Danilo
- In:
Essays in honour of Fabio Canova
,
(pp. 65-98)
.
2022
Persistent link: https://www.econbiz.de/10013443910
Saved in:
5
Bayesian quantile forecasting via the realized hysteretic GARCH model
Chen, Cathy W. S.
;
Lin, Edward M. H.
;
Huang, Tara F. J.
- In:
Journal of forecasting
41
(
2022
)
7
,
pp. 1317-1337
Persistent link: https://www.econbiz.de/10013465697
Saved in:
6
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:
7
The asymmetric spillover effect of the Markov switching mechanism from the futures market to the spot market
Chang, Kuang-Liang
;
Lee, Chingnun
- In:
International review of economics & finance : IREF
69
(
2020
),
pp. 374-388
Persistent link: https://www.econbiz.de/10012486979
Saved in:
8
Markov-switching three-pass regression filter
Guérin, Pierre
;
Leiva-Leon, Danilo
;
Marcellino, …
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
2
,
pp. 285-302
Persistent link: https://www.econbiz.de/10012262467
Saved in:
9
A new approach to volatility modeling : the factorial hidden Markov volatility model
Augustyniak, Maciej
;
Bauwens, Luc
;
Dufays, Arnaud
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
4
,
pp. 696-709
Persistent link: https://www.econbiz.de/10012179366
Saved in:
10
Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space
Augustyniak, Maciej
;
Dufays, Arnaud
- In:
Economics letters
170
(
2018
),
pp. 122-126
Persistent link: https://www.econbiz.de/10012019659
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