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~isPartOf:"Applied economics letters"
~isPartOf:"International journal of finance & economics : IJFE"
~isPartOf:"Quantitative finance"
~subject:"ARCH model"
~subject:"Aktienmarkt"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Markov chain"
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ARCH model
Aktienmarkt
Markov chain
100
Markov-Kette
100
Theorie
37
Theory
37
Estimation
33
Schätzung
33
Volatility
26
Volatilität
26
Stochastic process
17
Stochastischer Prozess
17
Börsenkurs
14
Capital income
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Forecasting model
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Kapitaleinkommen
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Share price
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Monte Carlo simulation
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Monte-Carlo-Simulation
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ARCH-Modell
12
Option pricing theory
12
Optionspreistheorie
12
Portfolio selection
11
Portfolio-Management
11
Time series analysis
11
Zeitreihenanalyse
11
Bayes-Statistik
8
Bayesian inference
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Statistische Verteilung
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Stock market
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Wechselkurs
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Business cycle
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Aufsatz in Zeitschrift
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18
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18
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Ma, Feng
2
Acquah, Benjamin K.
1
Alexander, Carol
1
Asai, Manabu
1
Brou, Jean Marcelin Bosson
1
Chang, Kuang-Liang
1
Chen, Cathy W. S.
1
Chen, Miao-Ling
1
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1
Chevallier, Julien
1
Demirer, Rıza
1
Demos, Guilherme
1
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1
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1
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1
Gerlach, Richard
1
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1
Guyon, Julien
1
Hsieh, Fushing
1
Hsu, Ching-Chi
1
Khashanah, Khaldoun
1
Kim, Young Min
1
Kouassi, Eugene
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Lee, Seojin
1
Lekeufack, Jordan
1
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Shao, Chenjie
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Sornette, Didier
1
Thulaganyo, Kebaabetswe
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1
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Applied economics letters
International journal of finance & economics : IJFE
Quantitative finance
Energy economics
18
Applied economics
16
Journal of empirical finance
15
Economic modelling
14
International journal of forecasting
14
The North American journal of economics and finance : a journal of financial economics studies
13
Finance research letters
11
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
11
Journal of econometrics
10
International review of economics & finance : IREF
9
International review of financial analysis
9
Economics letters
7
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
7
Journal of forecasting
7
International Journal of Financial Studies : open access journal
6
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
6
Research in international business and finance
6
The European journal of finance
6
International journal of economics and finance
5
Journal of banking & finance
5
Review of quantitative finance and accounting
5
Applied financial economics
4
Econometric theory
4
Emerging markets review
4
International journal of emerging markets
4
Journal of economic dynamics & control
4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
4
The journal of futures markets
4
Computational economics
3
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
3
International journal of theoretical and applied finance
3
Journal of emerging market finance
3
Journal of risk and financial management : JRFM
3
Pacific-Basin finance journal
3
The econometrics journal
3
The empirical economics letters : a monthly international journal of economics
3
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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ECONIS (ZBW)
18
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1
Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry
Zhang, Zehua
;
Zhao, Ran
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 35-51
Persistent link: https://www.econbiz.de/10013490951
Saved in:
2
Bubbles and dependence between international equity markets
Ye, Wuyi
;
Gao, Lingbo
;
Liu, Xiaoquan
- In:
Quantitative finance
24
(
2024
)
1
,
pp. 119-138
Persistent link: https://www.econbiz.de/10014551948
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
Volatility is (mostly) path-dependent
Guyon, Julien
;
Lekeufack, Jordan
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1221-1258
Persistent link: https://www.econbiz.de/10014339908
Saved in:
5
Bayesian non-linear quantile effects on modelling realized kernels
Dong, Manh Cuong
;
Chen, Cathy W. S.
;
Asai, Manabu
- In:
International journal of finance & economics : IJFE
28
(
2023
)
1
,
pp. 981-995
Persistent link: https://www.econbiz.de/10014253335
Saved in:
6
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
Wang, Chao
;
Gerlach, Richard
;
Chen, Qian
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 309-334
Persistent link: https://www.econbiz.de/10014232647
Saved in:
7
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:
8
Effects of diamond price volatility on stock returns : evidence from a developing economy
Brou, Jean Marcelin Bosson
;
Mougoué, Mbodja
;
Kouassi, …
- In:
International journal of finance & economics : IJFE
27
(
2022
)
1
,
pp. 1025-1043
Persistent link: https://www.econbiz.de/10012814972
Saved in:
9
Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model
Khashanah, Khaldoun
;
Shao, Chenjie
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 241-253
Persistent link: https://www.econbiz.de/10013167735
Saved in:
10
Unraveling S&P500 stock volatility and networks : an encoding-and-decoding approach
Wang, Xiaodong
;
Hsieh, Fushing
- In:
Quantitative finance
22
(
2022
)
5
,
pp. 997-1016
Persistent link: https://www.econbiz.de/10013367879
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