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~isPartOf:"Applied economics letters"
~isPartOf:"Econometric reviews"
~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
64
Markov-Kette
64
Theorie
27
Theory
27
Estimation
23
Schätzung
23
Monte Carlo simulation
17
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17
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15
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Aufsatz in Zeitschrift
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Chevallier, Julien
2
Ma, Feng
2
Anyfantaki, Sofia
1
Ausín, M. Concepción
1
Azhar Mohamad
1
Bordignon, Silvano
1
Caputo, Rodrigo
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Chan, David
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1
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Kolossiatis, Michalis
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Lee, Seojin
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León-González, Roberto
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Li, Tao
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Virbickaitė, Audronė
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Applied economics letters
Econometric reviews
Energy economics
35
Economic modelling
25
Applied economics
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
12
International review of economics & finance : IREF
12
Journal of banking & finance
11
Journal of forecasting
11
Review of quantitative finance and accounting
11
The European journal of finance
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Computational economics
9
Journal of economic dynamics & control
9
Journal of mathematical finance
9
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
8
International journal of finance & economics : IJFE
8
The journal of futures markets
8
Applied financial economics
7
Applied mathematical finance
7
Journal of risk and financial management : JRFM
7
Research in international business and finance
7
International Journal of Financial Studies : open access journal
6
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Econometrics : open access journal
5
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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International journal of financial engineering
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Annals of finance
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Econometric theory
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Emerging markets review
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ECONIS (ZBW)
18
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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
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta
;
Omori, Yasuhiro
- In:
Econometric reviews
42
(
2023
)
6
,
pp. 513-539
Persistent link: https://www.econbiz.de/10014305574
Saved in:
6
Bayesian analysis of moving average stochastic volatility models : modeling in-mean effects and leverage for financial time series
Dimitrakopoulos, Stefanos
;
Kolossiatis, Michalis
- In:
Econometric reviews
39
(
2020
)
4
,
pp. 319-343
Persistent link: https://www.econbiz.de/10012181420
Saved in:
7
Bayesian semiparametric multivariate stochastic volatility with application
Zaharieva, Martina Danielova
;
Trede, Mark
;
Wilfling, Bernd
- In:
Econometric reviews
39
(
2020
)
9
,
pp. 947-970
Persistent link: https://www.econbiz.de/10012295590
Saved in:
8
Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility
León-González, Roberto
- In:
Econometric reviews
38
(
2019
)
8
,
pp. 899-920
Persistent link: https://www.econbiz.de/10012181373
Saved in:
9
Particle learning for Bayesian semi-parametric stochastic volatility model
Virbickaitė, Audronė
;
Lopes, Hedibert Freitas
; …
- In:
Econometric reviews
38
(
2019
)
9
,
pp. 1007-1023
Persistent link: https://www.econbiz.de/10012181379
Saved in:
10
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
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