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accessRights:"restricted"
~person:"Cavazos-Cadena, Rolando"
~person:"Chang, Kuang-Liang"
~person:"Dufays, Arnaud"
~subject:"Exchange rate"
~subject:"Multivariate distribution"
~subject:"Theorie"
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Exchange rate
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Markov chain
15
Markov-Kette
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7
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7
Volatility
7
Volatilität
7
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5
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Cavazos-Cadena, Rolando
Chang, Kuang-Liang
Dufays, Arnaud
Tsionas, Efthymios G.
12
Serletis, Apostolos
9
Xu, Libo
8
Feinberg, Eugene A.
7
Cavicchioli, Maddalena
6
Elliott, Robert J.
6
Goyal, Vineet
6
Casarin, Roberto
5
D'Amico, Guglielmo
5
Guérin, Pierre
5
Houtum, Geert-Jan van
5
Li, Yong
5
Lunday, Brian J.
5
Marcellino, Massimiliano
5
Robbins, Matthew J.
5
Siu, Tak Kuen
5
Arts, Joachim
4
Billio, Monica
4
Creemers, Stefan
4
Cui, Lirong
4
Dimitrakopoulos, Stefanos
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
Assaf, A. Georges
3
Badescu, Andrei L.
3
Bianchi, Francesco
3
Boute, Robert N.
3
Buchholz, Peter
3
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Mathematical methods of operations research : ZOR
2
The North American journal of economics and finance : a journal of financial economics studies
2
Applied economics letters
1
Economics letters
1
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
1
International review of economics & finance : IREF
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
13
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1
Contractive approximations in average Markov decision chains driven by a risk-seeking controller
Portillo-Ramírez, Gustavo
;
Cavazos-Cadena, Rolando
; …
- In:
Mathematical methods of operations research : ZOR
98
(
2023
)
1
,
pp. 75-91
Persistent link: https://www.econbiz.de/10014334626
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
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
Discounted approximations in risk-sensitive average Markov cost chains with finite state space
Blancas-Rivera, Rubén
;
Cavazos-Cadena, Rolando
; …
- In:
Mathematical methods of operations research : ZOR
91
(
2020
)
2
,
pp. 241-268
Persistent link: https://www.econbiz.de/10012229529
Saved in:
6
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:
7
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
Saved in:
8
Characterization of the optimal risk-sensitive average cost in denumerable Markov decision chains
Cavazos-Cadena, Rolando
- In:
Mathematics of operations research
43
(
2018
)
3
,
pp. 1025-1050
Persistent link: https://www.econbiz.de/10011914392
Saved in:
9
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:
10
Autoregressive moving average infinite hidden Markov-switching models
Bauwens, Luc
;
Carpantier, Jean-François
;
Dufays, Arnaud
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
2
,
pp. 162-182
Persistent link: https://www.econbiz.de/10011704161
Saved in:
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