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accessRights:"restricted"
~person:"Billio, Monica"
~person:"Chang, Kuang-Liang"
~subject:"Capital income"
~subject:"Commodity derivative"
~subject:"Theorie"
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Capital income
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Markov chain
13
Markov-Kette
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7
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Billio, Monica
Chang, Kuang-Liang
Tsionas, Efthymios G.
12
Serletis, Apostolos
8
Feinberg, Eugene A.
7
Xu, Libo
7
Casarin, Roberto
6
Cavicchioli, Maddalena
6
Elliott, Robert J.
6
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5
Guérin, Pierre
5
Lee, Hsiang-Tai
5
Li, Yong
5
Lunday, Brian J.
5
Ma, Feng
5
Marcellino, Massimiliano
5
Robbins, Matthew J.
5
Siu, Tak Kuen
5
Creemers, Stefan
4
Cui, Lirong
4
D'Amico, Guglielmo
4
Dimitrakopoulos, Stefanos
4
Dufays, Arnaud
4
Gerlach, Richard
4
Gupta, Rangan
4
Houtum, Geert-Jan van
4
Kang, Kyu Ho
4
Lesage, James P.
4
Maheu, John M.
4
Shi, Yanlin
4
Wang, Chao
4
Yang, Hailiang
4
Yang, Qiao
4
Zhang, Hao
4
Arts, Joachim
3
Assaf, A. Georges
3
Badescu, Andrei L.
3
Bauwens, Luc
3
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3
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International review of economics & finance : IREF
2
Journal of econometrics
2
The North American journal of economics and finance : a journal of financial economics studies
2
Applied economics letters
1
Energy economics
1
Journal of international money and finance
1
Mathematical and statistical methods for actuarial sciences and finance : MAF 2016
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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1
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:
2
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:
3
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:
4
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:
5
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:
6
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
Saved in:
7
Asymmetric downside and upside co-movements between stock and REIT markets
Chang, Kuang-Liang
- In:
Applied economics letters
25
(
2018
)
2
,
pp. 78-82
Persistent link: https://www.econbiz.de/10011853694
Saved in:
8
Markov Switching GARCH models : filtering, approximations and duality
Billio, Monica
;
Cavicchioli, Maddalena
- In:
Mathematical and statistical methods for actuarial …
,
(pp. 59-72)
.
2017
Persistent link: https://www.econbiz.de/10012098763
Saved in:
9
Does REIT index hedge inflation risk? : new evidence from the tail quantile dependences of the Markov-switching GRG copula
Chang, Kuang-Liang
- In:
The North American journal of economics and finance : a …
39
(
2017
),
pp. 56-67
Persistent link: https://www.econbiz.de/10011878580
Saved in:
10
Does the return-state-varying relationship between risk and return matter in modeling the time series process of stock return?
Chang, Kuang-Liang
- In:
International review of economics & finance : IREF
42
(
2016
),
pp. 72-87
Persistent link: https://www.econbiz.de/10011625059
Saved in:
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