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isPartOf:"Journal of econometrics"
~language:"eng"
~source:"econis"
~subject:"Markov chain"
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Search: subject_exact:"Volatility"
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Markov chain
Volatility
321
Volatilität
321
Theorie
125
Theory
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Estimation theory
116
Schätztheorie
116
Stochastic process
104
Stochastischer Prozess
104
Estimation
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102
Time series analysis
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Capital income
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Option pricing theory
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Noise Trading
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Calvet, Laurent E.
2
Fisher, Adlai
2
Ahsan, Nazmul
1
Baldovin, Fulvio
1
Bauwens, Luc
1
Bognanni, Mark
1
Caporin, Massimiliano
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Caraglio, Michele
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Carriero, Andrea
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Chen, Fei
1
Chib, Siddhartha
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Clark, Todd E.
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Creal, Drew
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Dellaportas, Petros
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Diebold, Francis X.
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Dijk, Dick van
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Dufour, Jean-Marie
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Fearnley, Marcus
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Fulop, Andras
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Gouriéroux, Christian
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Griffin, J. E.
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Jacquier, Eric
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Jin, Xin
1
Kole, Erik
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Leippold, Markus
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Li, Junye
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Maheu, John M.
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Marcellino, Massimiliano
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Monfort, Alain
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Nardari, Federico
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Petrova, Katerina
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Polson, Nicholas G.
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Rossi, Peter E.
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Journal of econometrics
Energy economics
33
Economic modelling
21
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
17
Finance research letters
16
Journal of empirical finance
16
Applied economics
15
The North American journal of economics and finance : a journal of financial economics studies
14
International journal of forecasting
13
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
12
International review of financial analysis
11
Quantitative finance
11
International review of economics & finance : IREF
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Review of quantitative finance and accounting
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Economics letters
9
International journal of theoretical and applied finance
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Journal of mathematical finance
9
Applied economics letters
8
Computational economics
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Journal of banking & finance
8
Journal of economic dynamics & control
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Journal of forecasting
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The European journal of finance
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Working paper / Department of Econometrics and Business Statistics, Monash University
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Econometric reviews
7
International journal of finance & economics : IJFE
7
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
7
Journal of risk and financial management : JRFM
6
The journal of futures markets
6
Applied financial economics
5
Applied mathematical finance
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Discussion paper / Tinbergen Institute
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Discussion papers / Deutsches Institut für Wirtschaftsforschung
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Economics working paper
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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International journal of financial engineering
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Research in international business and finance
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SFB 649 discussion paper
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Annals of finance
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ECONIS (ZBW)
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1
Moments, shocks and spillovers in Markov-switching VAR models
Kole, Erik
;
Dijk, Dick van
- In:
Journal of econometrics
236
(
2023
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014365495
Saved in:
2
Scalable inference for a full multivariate stochastic volatility model
Dellaportas, Petros
;
Titsias, Michalis K.
;
Petrova, Katerina
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 501-520
Persistent link: https://www.econbiz.de/10014340078
Saved in:
3
Comment on "Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors"
Bognanni, Mark
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 498-505
Persistent link: https://www.econbiz.de/10013442175
Saved in:
4
Simple estimators and inference for higher-order stochastic volatility models
Ahsan, Nazmul
;
Dufour, Jean-Marie
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 181-197
Persistent link: https://www.econbiz.de/10013275370
Saved in:
5
Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 496-522
Persistent link: https://www.econbiz.de/10012482819
Saved in:
6
Bayesian estimation of dynamic asset pricing models with informative observations
Fulop, Andras
;
Li, Junye
- In:
Journal of econometrics
209
(
2019
)
1
,
pp. 114-138
Persistent link: https://www.econbiz.de/10012302530
Saved in:
7
Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of econometrics
213
(
2019
)
2
,
pp. 493-515
Persistent link: https://www.econbiz.de/10012304579
Saved in:
8
Modeling covariance breakdowns in multivariate GARCH
Jin, Xin
;
Maheu, John M.
- In:
Journal of econometrics
194
(
2016
)
1
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011705024
Saved in:
9
Pricing with finite dimensional dependence
Gouriéroux, Christian
;
Monfort, Alain
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 408-417
Persistent link: https://www.econbiz.de/10011499694
Saved in:
10
Option pricing with non-Gaussian scaling and infinite-state switching volatility
Baldovin, Fulvio
;
Caporin, Massimiliano
;
Caraglio, Michele
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 486-497
Persistent link: https://www.econbiz.de/10011499748
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