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~isPartOf:"Applied economics letters"
~isPartOf:"Energy economics"
~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
94
Markov-Kette
94
Volatilität
41
Estimation
37
Schätzung
37
Oil price
28
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28
ARCH-Modell
22
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Aufsatz in Zeitschrift
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Ma, Feng
4
Chevallier, Julien
3
Gupta, Rangan
3
Balcilar, Mehmet
2
Ji, Qiang
2
Lu, Xinjie
2
Luo, Jiawen
2
Sadorsky, Perry A.
2
Shahzad, Syed Jawad Hussain
2
Uddin, Mohammed Gazi Salah
2
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1
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1
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1
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1
Azhar Mohamad
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1
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1
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1
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1
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1
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Applied economics letters
Energy economics
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
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International review of economics & finance : IREF
12
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11
Journal of forecasting
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Review of quantitative finance and accounting
11
The European journal of finance
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Computational economics
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Journal of economic dynamics & control
9
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9
Econometric reviews
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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
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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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International journal of financial engineering
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Annals of finance
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ECONIS (ZBW)
45
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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
Financial stress and commodity price volatility
Chen, Louisa
;
Verousis, Thanos
;
Wang, Kai
;
Zhou, Zhiping
- In:
Energy economics
125
(
2023
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014485240
Saved in:
5
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:
6
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:
7
The dynamic interrelations of oil-equity implied volatility indexes under low and high volatility-of-volatility risk
Li, Leon
- In:
Energy economics
105
(
2022
),
pp. 1-8
Persistent link: https://www.econbiz.de/10013201954
Saved in:
8
Regime specific spillovers across US sectors and the role of oil price volatility
Hernandez, Jose Arreola
;
Shahzad, Syed Jawad Hussain
; …
- In:
Energy economics
107
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013202566
Saved in:
9
Modelling high frequency crude oil dynamics using affine and non-affine jump-diffusion models
Ignatieva, Ekaterina
;
Wong, Patrick
- In:
Energy economics
108
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013203083
Saved in:
10
Forecasting renewable energy stock volatility using short and long-term Markov switching GARCH-MIDAS models : either, neither or both?
Wang, Lu
;
Wu, Jiangbin
;
Cao, Yang
;
Hong, Yanran
- In:
Energy economics
111
(
2022
),
pp. 1-12
Persistent link: https://www.econbiz.de/10013349997
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