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~isPartOf:"Applied economics letters"
~isPartOf:"Applied mathematical finance"
~subject:"ARCH model"
~subject:"Aktienmarkt"
~subject:"Volatility"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Markov chain"
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ARCH model
Aktienmarkt
Volatility
Markov chain
56
Markov-Kette
56
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16
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16
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15
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15
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Aufsatz in Zeitschrift
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Siu, Tak Kuen
3
Chevallier, Julien
2
Elliott, Robert J.
2
Goutte, Stéphane
2
Ma, Feng
2
Azhar Mohamad
1
Caputo, Rodrigo
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Chan, Leunglung
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Applied economics letters
Applied mathematical finance
Energy economics
35
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25
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22
Finance research letters
21
Journal of empirical finance
21
Journal of econometrics
20
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
19
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
18
International journal of forecasting
17
The North American journal of economics and finance : a journal of financial economics studies
17
International review of financial analysis
16
Quantitative finance
14
Economics letters
12
International journal of theoretical and applied finance
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International review of economics & finance : IREF
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11
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
8
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8
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8
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7
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7
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Econometrics : open access journal
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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International journal of economics and finance
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ECONIS (ZBW)
17
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1
Wars, cartels and COVID-19 : regime switching in commodity prices
Caputo, Rodrigo
;
Ordóñez, Félix
- In:
Applied economics letters
31
(
2024
)
4
,
pp. 338-345
Persistent link: https://www.econbiz.de/10014468840
Saved in:
2
Price discovery in bitcoin spot or futures during the Covid-19 pandemic? : Evidence from the time-varying parameter vector autoregressive model with stochastic volatility
Azhar Mohamad
;
Inani, Sarveshwar Kumar
- In:
Applied economics letters
30
(
2023
)
19
,
pp. 2749-2757
Persistent link: https://www.econbiz.de/10014368575
Saved in:
3
Volatility spillovers across financial markets : the role of oil price uncertainty
Lee, Seojin
;
Kim, Young Min
- In:
Applied economics letters
30
(
2023
)
17
,
pp. 2342-2347
Persistent link: https://www.econbiz.de/10014365776
Saved in:
4
Newspaper-based equity uncertainty or implied volatility index : new evidence from oil market volatility predictability
Lu, Xinjie
;
Ma, Feng
;
Li, Pan
;
Li, Tao
- In:
Applied economics letters
30
(
2023
)
7
,
pp. 960-964
Persistent link: https://www.econbiz.de/10014303607
Saved in:
5
Structural clustering of volatility regimes for dynamic trading strategies
Prakash, Arjun
;
James, Nick
;
Menzies, Max
;
Francis, Gilad
- In:
Applied mathematical finance
28
(
2021
)
3
,
pp. 236-274
Persistent link: https://www.econbiz.de/10013171071
Saved in:
6
Smart indexing under regime-switching economic states
Edirisinghe, Chanaka
;
Zhao, Yonggan
- In:
Applied mathematical finance
27
(
2020
)
5
,
pp. 422-456
Persistent link: https://www.econbiz.de/10012501624
Saved in:
7
Asymmetric effect of advertising on the Chinese stock market
Hsu, Ching-Chi
;
Chen, Miao-Ling
- In:
Applied economics letters
26
(
2019
)
2
,
pp. 157-162
Persistent link: https://www.econbiz.de/10012204156
Saved in:
8
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:
9
Regime-switching stochastic volatility model : estimation and calibration to VIX options
Goutte, Stéphane
;
Ismail, Amine
;
Pham, Huyên
- In:
Applied mathematical finance
24
(
2017
)
1/2
,
pp. 38-75
Persistent link: https://www.econbiz.de/10011746993
Saved in:
10
Detecting jumps and regime switches in international stock markets returns
Chevallier, Julien
;
Goutte, Stéphane
- In:
Applied economics letters
22
(
2015
)
13/15
,
pp. 1011-1019
Persistent link: https://www.econbiz.de/10011312229
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