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~isPartOf:"Applied economics letters"
~isPartOf:"International review of economics & finance : IREF"
~isPartOf:"International review of financial analysis"
~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
99
Markov-Kette
99
Estimation
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41
Theorie
29
Theory
29
Volatility
29
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29
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Aufsatz in Zeitschrift
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Chang, Kuang-Liang
3
Christiansen, Charlotte
2
Lee, Hsiang-Tai
2
Li, Tao
2
Ma, Feng
2
Alemany, Nuria
1
Ané, Thierry
1
Aragó, Vicent
1
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Applied economics letters
International review of economics & finance : IREF
International review of financial analysis
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
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Economics letters
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
7
Journal of forecasting
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International Journal of Financial Studies : open access journal
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Review of quantitative finance and accounting
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Econometric theory
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Emerging markets review
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International journal of emerging markets
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International journal of finance & economics : IJFE
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Journal of economic dynamics & control
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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The journal of futures markets
4
Computational economics
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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 theoretical and applied finance
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Journal of emerging market finance
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Journal of risk and financial management : JRFM
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Pacific-Basin finance journal
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The econometrics journal
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The empirical economics letters : a monthly international journal of economics
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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)
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1
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:
2
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:
3
Geopolitical risk and oil price volatility : evidence from Markov-switching model
Qian, Lihua
;
Zeng, Qing
;
Li, Tao
- In:
International review of economics & finance : IREF
81
(
2022
),
pp. 29-38
Persistent link: https://www.econbiz.de/10013343484
Saved in:
4
A regime-switching real-time copula GARCH model for optimal futures hedging
Lee, Hsiang-Tai
;
Lee, Chien-chiang
- In:
International review of financial analysis
84
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013472897
Saved in:
5
A three-tiered nested analytical approach to financial integration : the case of emerging and frontier equity markets
Cagliesi, Gabriella
;
Guidi, Francesco
- In:
International review of financial analysis
74
(
2021
),
pp. 1-29
Persistent link: https://www.econbiz.de/10012803928
Saved in:
6
Lead-lag relationship between spot and futures stock indexes : intraday data and regime-switching models
Alemany, Nuria
;
Aragó, Vicent
;
Salvador, Enrique
- In:
International review of economics & finance : IREF
68
(
2020
),
pp. 269-280
Persistent link: https://www.econbiz.de/10012486492
Saved in:
7
The asymmetric spillover effect of the Markov switching mechanism from the futures market to the spot market
Chang, Kuang-Liang
;
Lee, Chingnun
- In:
International review of economics & finance : IREF
69
(
2020
),
pp. 374-388
Persistent link: https://www.econbiz.de/10012486979
Saved in:
8
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:
9
A conditional regime switching CAPM
Vendrame, Vasco
;
Guermat, Cherif
;
Tucker, Jon
- In:
International review of financial analysis
56
(
2018
),
pp. 1-11
Persistent link: https://www.econbiz.de/10012006196
Saved in:
10
Is gold a Sometime Safe Haven or an Always Hedge for equity investors? : a Markov-Switching CAPM approach for US and UK stock indices
He, Zhen
;
O'Connor, Fergal A.
;
Thijssen, Jacco J. J.
- In:
International review of financial analysis
60
(
2018
),
pp. 30-37
Persistent link: https://www.econbiz.de/10012007458
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