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accessRights:"restricted"
~person:"Billio, Monica"
~person:"Chang, Kuang-Liang"
~person:"Chen, Cathy W. S."
~person:"Guérin, Pierre"
~subject:"Bayesian inference"
~subject:"Crude oil"
~subject:"Theorie"
~subject:"VAR-Modell"
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Search: subject_exact:"Markov chain"
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Bayesian inference
Crude oil
Theorie
VAR-Modell
Markov chain
22
Markov-Kette
22
Estimation
15
Schätzung
15
Theory
15
ARCH model
10
ARCH-Modell
10
Time series analysis
9
Zeitreihenanalyse
9
Bayes-Statistik
8
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7
Prognoseverfahren
7
Volatility
7
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7
Capital income
5
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5
Markov-switching
5
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5
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5
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5
Multivariate distribution
5
Business cycle
4
Frühindikator
4
Konjunktur
4
Leading indicator
4
VAR model
4
Börsenkurs
3
Forecasting
3
Markov switching
3
Share price
3
Statistical distribution
3
Statistische Verteilung
3
Aktienmarkt
2
Commodity derivative
2
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2
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18
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Billio, Monica
Chang, Kuang-Liang
Chen, Cathy W. S.
Guérin, Pierre
Tsionas, Efthymios G.
16
Casarin, Roberto
8
Serletis, Apostolos
8
Cavicchioli, Maddalena
7
Feinberg, Eugene A.
7
Xu, Libo
7
Elliott, Robert J.
6
Goyal, Vineet
6
Li, Yong
6
Guidolin, Massimo
5
Gupta, Rangan
5
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
Dufays, Arnaud
4
Foerster, Andrew
4
Gerlach, Richard
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
Asai, Manabu
3
Assaf, A. Georges
3
Badescu, Andrei L.
3
Balcilar, Mehmet
3
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Journal of econometrics
2
The North American journal of economics and finance : a journal of financial economics studies
2
Discussion paper / Centre for Economic Policy Research
1
Economics letters
1
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
1
Energy economics
1
Essays in honour of Fabio Canova
1
International journal of finance & economics : IJFE
1
International journal of forecasting
1
International review of economics & finance : IREF
1
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1
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1
Journal of forecasting
1
Journal of international money and finance
1
Mathematical and statistical methods for actuarial sciences and finance : MAF 2016
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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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
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:
4
Markov switching panel with endogenous synchronization effects
Agudze, Komla M.
;
Billio, Monica
;
Casarin, Roberto
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 281-298
Persistent link: https://www.econbiz.de/10013463814
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
Modeling systemic risk with Markov Switching Graphical SUR models
Bianchi, Daniele
;
Billio, Monica
;
Casarin, Roberto
; …
- In:
Journal of econometrics
210
(
2019
)
1
,
pp. 58-74
Persistent link: https://www.econbiz.de/10012303377
Saved in:
10
Markov switching GARCH models for Bayesian hedging on energy futures markets
Billio, Monica
;
Casarin, Roberto
;
Osuntuyi, Anthony
- In:
Energy economics
70
(
2018
),
pp. 545-562
Persistent link: https://www.econbiz.de/10011942887
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