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accessRights:"restricted"
~person:"Chang, Kuang-Liang"
~person:"Chen, Cathy W. S."
~person:"D'Amico, Guglielmo"
~person:"Dufays, Arnaud"
~subject:"Crude oil"
~subject:"Theorie"
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Search: subject_exact:"Markov chain"
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Crude oil
Theorie
Markov chain
20
Markov-Kette
20
Theory
14
ARCH model
10
ARCH-Modell
10
Volatility
10
Volatilität
10
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8
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Chang, Kuang-Liang
Chen, Cathy W. S.
D'Amico, Guglielmo
Dufays, Arnaud
Tsionas, Efthymios G.
12
Serletis, Apostolos
8
Feinberg, Eugene A.
7
Xu, Libo
7
Cavicchioli, Maddalena
6
Elliott, Robert J.
6
Casarin, Roberto
5
Goyal, Vineet
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
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
Cavazos-Cadena, Rolando
3
Ching, Wai Ki
3
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
The North American journal of economics and finance : a journal of financial economics studies
2
Annals of finance
1
Economics letters
1
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
1
IMA journal of management mathematics
1
International journal of finance & economics : IJFE
1
International review of economics & finance : IREF
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of forecasting
1
Journal of international money and finance
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Journal of the Operational Research Society : OR
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Scandinavian actuarial journal
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ECONIS (ZBW)
15
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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 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:
4
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:
5
A multivariate Markov chain stock model
D'Amico, Guglielmo
;
De Blasis, Riccardo
- In:
Scandinavian actuarial journal
2020
(
2020
)
4
,
pp. 272-291
Persistent link: https://www.econbiz.de/10012262736
Saved in:
6
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:
7
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:
8
Change point dynamics for financial data : an indexed Markov chain approach
D'Amico, Guglielmo
;
Lika, Ada
;
Petroni, Filippo
- In:
Annals of finance
15
(
2019
)
2
,
pp. 247-266
Persistent link: https://www.econbiz.de/10012058237
Saved in:
9
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:
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
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