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accessRights:"restricted"
~person:"Gupta, Rangan"
~person:"Kirkby, J. Lars"
~person:"Serletis, Apostolos"
~person:"Sola, Martin"
~source:"econis"
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Search: subject_exact:"Markov chain"
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Markov chain
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Gupta, Rangan
Kirkby, J. Lars
Serletis, Apostolos
Sola, Martin
Tsionas, Efthymios G.
17
Elliott, Robert J.
10
Cui, Zhenyu
9
Xu, Libo
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1
Forecasting stock market volatility with regime-switching GARCH-MIDAS : the role of geopolitical risks
Segnon, Mawuli
;
Gupta, Rangan
;
Wilfling, Bernd
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 29-43
Persistent link: https://www.econbiz.de/10014450235
Saved in:
2
Inflation uncertainty
Serletis, Apostolos
;
Xu, Libo
- In:
Empirical economics : a quarterly journal of the …
66
(
2024
)
5
,
pp. 1903-1920
Persistent link: https://www.econbiz.de/10014520073
Saved in:
3
On the sources of the aggregate risk premium : risk aversion, bubbles or regime-switching?
Caravello, Tomás E.
;
Driffill, John
;
Kenç, Turalay
; …
- In:
Journal of economic dynamics & control
166
(
2024
),
pp. 1-25
Persistent link: https://www.econbiz.de/10015051271
Saved in:
4
Forecasting national recessions of the United States with state-level climate risks : evidence from model averaging in Markov-switching models
Cepni, Oguzhan
;
Christou, Christina
;
Gupta, Rangan
- In:
Economics letters
227
(
2023
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014335747
Saved in:
5
The oil price-macroeconomy dependence
Serletis, Apostolos
;
Xu, Libo
- In:
Empirical economics : a quarterly journal of the …
65
(
2023
)
6
,
pp. 2501-2520
Persistent link: https://www.econbiz.de/10014388954
Saved in:
6
Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation
Kirkby, J. Lars
- In:
European journal of operational research : EJOR
305
(
2023
)
2
,
pp. 961-978
Persistent link: https://www.econbiz.de/10013482166
Saved in:
7
Forecasting oil and gold volatilities with sentiment indicators under structural breaks
Luo, Jiawen
;
Demirer, Rıza
;
Gupta, Rangan
;
Ji, Qiang
- In:
Energy economics
105
(
2022
),
pp. 1-22
Persistent link: https://www.econbiz.de/10013201953
Saved in:
8
The demand for assets : evidence from the Markov switching normalized quadratic model
Xu, Libo
;
Serletis, Apostolos
- In:
Journal of money, credit and banking : JMCB
54
(
2022
)
4
,
pp. 989-1025
Persistent link: https://www.econbiz.de/10013281375
Saved in:
9
Maximum likelihood estimation in Markov regime-switching models with covariate-dependent transition probabilities
Pouzo, Demian
;
Psaradakis, Zacharias G.
;
Sola, Martin
- In:
Econometrica : journal of the Econometric Society, an …
90
(
2022
)
4
,
pp. 1681-1710
Persistent link: https://www.econbiz.de/10013382399
Saved in:
10
Are multifractal processes suited to forecasting electricity price volatility? : evidence from Australian intraday data
Segnon, Mawuli
;
Lau, Chi Keung
;
Wilfling, Bernd
;
Gupta, …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 73-98
Persistent link: https://www.econbiz.de/10013334628
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