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~isPartOf:"Applied economics letters"
~isPartOf:"International review of economics & finance : IREF"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~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
128
Markov-Kette
128
Theorie
56
Theory
56
Estimation
43
Schätzung
43
Volatility
35
Volatilität
35
Time series analysis
31
Zeitreihenanalyse
31
Bayesian inference
30
Bayes-Statistik
29
Monte Carlo simulation
27
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27
ARCH-Modell
18
Capital income
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Konjunktur
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Share price
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Stochastic process
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Stochastischer Prozess
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Estimation theory
10
Markov chain Monte Carlo
10
Markov switching
10
Schätztheorie
10
VAR model
10
VAR-Modell
10
Markov-switching
9
Oil price
9
Ölpreis
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Commodity derivative
8
Multivariate Analyse
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Aufsatz in Zeitschrift
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22
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English
22
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Chang, Kuang-Liang
3
Bauwens, Luc
2
Li, Tao
2
Ma, Feng
2
Alemany, Nuria
1
Aragó, Vicent
1
Augustyniak, Maciej
1
Balcilar, Mehmet
1
Casarin, Roberto
1
Cavicchioli, Maddalena
1
Chen, Carl R.
1
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1
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1
Chen, Shiu-sheng
1
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1
Chevallier, Julien
1
Chou, Yu-Hsi
1
Costantini, Mauro
1
Damien, Paul
1
Dufays, Arnaud
1
Gerlach, Richard H.
1
Goutte, Stéphane
1
Gungor, Hasan
1
Guo, Feng
1
Hammoudeh, Shawkat
1
Ho, Kin-Yip
1
Hsu, Ching-Chi
1
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1
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1
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1
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1
Lin, Hsiou-wei William
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Lin, Shih-kuei
1
Liu, Li
1
Liu, Wai-man
1
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1
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Applied economics letters
International review of economics & finance : IREF
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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 financial analysis
9
Economics letters
7
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
7
Journal of forecasting
7
Quantitative finance
7
International Journal of Financial Studies : open access journal
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
International journal of finance & economics : IJFE
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)
22
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1
Bayesian nonparametric panel Markov-switching GARCH models
Casarin, Roberto
;
Costantini, Mauro
;
Osuntuyi, Anthony
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
1
,
pp. 135-146
Persistent link: https://www.econbiz.de/10014449842
Saved in:
2
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:
3
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:
4
Markov switching GARCH models : higher order moments, kurtosis measures, and volatility evaluation in recessions and pandemic
Cavicchioli, Maddalena
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
4
,
pp. 1772-1783
Persistent link: https://www.econbiz.de/10013540511
Saved in:
5
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:
6
Semiparametric GARCH via Bayesian model averaging
Chen, Wilson Ye
;
Gerlach, Richard H.
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
2
,
pp. 437-452
Persistent link: https://www.econbiz.de/10012499090
Saved in:
7
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:
8
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:
9
A new approach to volatility modeling : the factorial hidden Markov volatility model
Augustyniak, Maciej
;
Bauwens, Luc
;
Dufays, Arnaud
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
4
,
pp. 696-709
Persistent link: https://www.econbiz.de/10012179366
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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