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~isPartOf:"Applied economics"
~source:"econis"
~subject:"ARCH model"
~subject:"Aktienmarkt"
~subject:"Bayes-Statistik"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Sammlung"
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ARCH model
Aktienmarkt
Bayes-Statistik
Markov chain
52
Markov-Kette
52
Estimation
31
Schätzung
31
Volatility
15
Volatilität
15
Theorie
14
Theory
14
Capital income
12
Kapitaleinkommen
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ARCH-Modell
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Time series analysis
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Markov switching
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Aloui, Chaker
1
Azali, Mohamed
1
Blazsek, Szabolcs
1
Chen, Shyh-wei
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Cheng, Jen-chi
1
Chevallier, Julien
1
Chu, Guoqing
1
Cremaschini, Alessandro
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Ding, Jin
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Fonseca, José da
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Habibullah, Muzafar Shah
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Luo, H. Arthur
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Ma, Feng
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Maruotti, Antonello
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Ren, Ying-hua
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Vikkram Singh
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Wan Azman Saini Wan Ngah
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Wang, Donghua
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Applied economics
Journal of econometrics
39
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
29
Energy economics
23
Economic modelling
22
International journal of forecasting
22
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
21
Journal of empirical finance
18
The North American journal of economics and finance : a journal of financial economics studies
15
Economics letters
14
Finance research letters
13
Journal of forecasting
13
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
12
European journal of operational research : EJOR
11
International review of financial analysis
11
Journal of economic dynamics & control
10
Applied economics letters
9
Econometric reviews
9
International review of economics & finance : IREF
9
Journal of risk and financial management : JRFM
9
Quantitative finance
9
Research in international business and finance
9
Computational economics
8
Journal of applied econometrics
8
Journal of banking & finance
8
Journal of financial econometrics : official journal of the Society for Financial Econometrics
8
Journal of the American Statistical Association : JASA
8
International journal of economics and finance
7
Marketing science : the marketing journal of the Institute for Operations Research and the Management Sciences
7
The European journal of finance
7
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
6
Econometrics : open access journal
6
Insurance / Mathematics & economics
6
International Journal of Financial Studies : open access journal
6
International journal of theoretical and applied finance
6
Management science : journal of the Institute for Operations Research and the Management Sciences
6
Quantitative marketing and economics : QME
6
Risks : open access journal
6
The journal of futures markets
6
Economic research
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1
Modelling and forecasting COVID-19 stock returns using asymmetric GARCH-ICAPM with mixture and heavy-tailed distributions
Rewat Khanthaporn
;
Wichitaksorn, Nuttanan
- In:
Applied economics
55
(
2023
)
51
,
pp. 6042-6061
Persistent link: https://www.econbiz.de/10014335891
Saved in:
2
On stylized facts of cryptocurrencies returns and their relationship with other assets, with a focus on the impact of COVID-19
Cremaschini, Alessandro
;
Punzón, Antonio
;
Martellucci, …
- In:
Applied economics
55
(
2023
)
32
,
pp. 3675-3688
Persistent link: https://www.econbiz.de/10014299197
Saved in:
3
Modelling asset returns in the presence of price limits with Markov-switching mixture of truncated normal GARCH distribution : evidence from China
Wang, Donghua
;
Ding, Jin
;
Chu, Guoqing
;
Xu, Dinghai
; …
- In:
Applied economics
53
(
2021
)
7
,
pp. 781-804
Persistent link: https://www.econbiz.de/10012416088
Saved in:
4
Weathering financial crisis in China : the role of global market integration
Vikkram Singh
;
Roca, Eduardo
- In:
Applied economics
53
(
2021
)
15
,
pp. 1756-1776
Persistent link: https://www.econbiz.de/10012485291
Saved in:
5
Volatility forecasting : long memory, regime switching and heteroscedasticity
Ma, Feng
;
Lu, Xinjie
;
Yang, Ke
;
Zhang, Yaojie
- In:
Applied economics
51
(
2019
)
38
,
pp. 4151-4163
Persistent link: https://www.econbiz.de/10012196974
Saved in:
6
Are Islamic bonds a good safe haven for stocks? : implications for portfolio management in a time-varying regime-switching copula framework
Shahzad, Syed Jawad Hussain
;
Aloui, Chaker
;
Jammazi, Rania
- In:
Applied economics
51
(
2019
)
3
,
pp. 219-238
Persistent link: https://www.econbiz.de/10012160482
Saved in:
7
Score-driven Markov-switching EGARCH models : an application to systematic risk analysis
Blazsek, Szabolcs
;
Ho, Han-Chiang
;
Liu, Su-Ping
- In:
Applied economics
50
(
2018
)
56
,
pp. 6047-6060
Persistent link: https://www.econbiz.de/10012063386
Saved in:
8
Asymmetric effects of oil price shocks on stock returns : evidence from a two-stage Markov regime-switching approach
Zhu, Huiming
;
Su, Xianfang
;
You, Wan-hai
;
Ren, Ying-hua
- In:
Applied economics
49
(
2017
)
25
,
pp. 2491-2507
Persistent link: https://www.econbiz.de/10011819559
Saved in:
9
Cross-country performance of Lévy regime-switching models for stock markets
Chevallier, Julien
;
Goutte, Stéphane
- In:
Applied economics
49
(
2017
)
2
,
pp. 111-137
Persistent link: https://www.econbiz.de/10011810520
Saved in:
10
Monetary shocks, equity returns and volatility : a firm-level panel data analysis
Luo, H. Arthur
;
Cheng, Jen-chi
;
Vijverberg, Chu-ping C.
- In:
Applied economics
48
(
2016
)
4/6
,
pp. 261-275
Persistent link: https://www.econbiz.de/10011412709
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