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~isPartOf:"Applied economics letters"
~isPartOf:"International review of economics & finance : IREF"
~subject:"ARCH model"
~subject:"Aktienmarkt"
~type_genre:"Article in journal"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Markov chain"
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ARCH model
Aktienmarkt
Markov chain
66
Markov-Kette
66
Estimation
26
Schätzung
26
Theorie
18
Theory
18
Volatility
18
Volatilität
18
ARCH-Modell
12
Capital income
11
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Monte Carlo simulation
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Chang, Kuang-Liang
3
Li, Tao
2
Ma, Feng
2
Alemany, Nuria
1
Aragó, Vicent
1
Balcilar, Mehmet
1
Chen, Carl R.
1
Chen, Miao-Ling
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Applied economics letters
International review of economics & finance : IREF
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
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Research in international business and finance
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The European journal of finance
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International journal of economics and finance
5
Journal of banking & finance
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Review of quantitative finance and accounting
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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
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
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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)
16
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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
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:
5
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:
6
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:
7
Asymmetric downside and upside co-movements between stock and REIT markets
Chang, Kuang-Liang
- In:
Applied economics letters
25
(
2018
)
2
,
pp. 78-82
Persistent link: https://www.econbiz.de/10011853694
Saved in:
8
Further evidence on bear market predictability : the role of the external finance premium
Chen, Nan-kuang
;
Chen, Shiu-sheng
;
Chou, Yu-Hsi
- In:
International review of economics & finance : IREF
50
(
2017
),
pp. 106-121
Persistent link: https://www.econbiz.de/10011754115
Saved in:
9
Does the return-state-varying relationship between risk and return matter in modeling the time series process of stock return?
Chang, Kuang-Liang
- In:
International review of economics & finance : IREF
42
(
2016
),
pp. 72-87
Persistent link: https://www.econbiz.de/10011625059
Saved in:
10
Public information arrival and stock return volatility : evidence from news sentiment and Markov Regime-Switching Approach
Shi, Yanlin
;
Ho, Kin-Yip
;
Liu, Wai-man
- In:
International review of economics & finance : IREF
42
(
2016
),
pp. 291-312
Persistent link: https://www.econbiz.de/10011625119
Saved in:
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