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~isPartOf:"Applied economics letters"
~isPartOf:"Journal of econometrics"
~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
155
Markov-Kette
155
Theorie
79
Theory
79
Monte Carlo simulation
48
Monte-Carlo-Simulation
48
Estimation
41
Schätzung
41
Bayes-Statistik
34
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34
Time series analysis
29
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Volatilität
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Regression analysis
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Aufsatz in Zeitschrift
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30
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Bauwens, Luc
2
Calvet, Laurent E.
2
Chevallier, Julien
2
Fisher, Adlai
2
Ma, Feng
2
Ahsan, Nazmul
1
Azhar Mohamad
1
Baldovin, Fulvio
1
Bognanni, Mark
1
Caporin, Massimiliano
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Caputo, Rodrigo
1
Caraglio, Michele
1
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1
Chang, Kuang-Liang
1
Chen, Fei
1
Chen, Miao-Ling
1
Chib, Siddhartha
1
Clark, Todd E.
1
Creal, Drew
1
Dellaportas, Petros
1
Diebold, Francis X.
1
Dijk, Dick van
1
Dufays, Arnaud
1
Dufour, Jean-Marie
1
Fearnley, Marcus
1
Fulop, Andras
1
Gatumel, Mathieu
1
Gouriéroux, Christian
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Jacquier, Eric
1
Jin, Xin
1
Kim, Young Min
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Kole, Erik
1
Lee, Seojin
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1
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Applied economics letters
Journal of econometrics
Energy economics
35
Economic modelling
25
Applied economics
22
Finance research letters
21
Journal of empirical finance
21
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
12
International review of economics & finance : IREF
12
Journal of banking & finance
11
Journal of forecasting
11
Review of quantitative finance and accounting
11
The European journal of finance
11
Computational economics
9
Journal of economic dynamics & control
9
Journal of mathematical finance
9
Econometric reviews
8
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
6
Econometrics : open access journal
5
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
5
International journal of economics and finance
5
International journal of financial engineering
5
Annals of finance
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Econometric theory
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Emerging markets review
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ECONIS (ZBW)
30
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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
Moments, shocks and spillovers in Markov-switching VAR models
Kole, Erik
;
Dijk, Dick van
- In:
Journal of econometrics
236
(
2023
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014365495
Saved in:
4
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:
5
Scalable inference for a full multivariate stochastic volatility model
Dellaportas, Petros
;
Titsias, Michalis K.
;
Petrova, Katerina
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 501-520
Persistent link: https://www.econbiz.de/10014340078
Saved in:
6
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:
7
Comment on "Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors"
Bognanni, Mark
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 498-505
Persistent link: https://www.econbiz.de/10013442175
Saved in:
8
Simple estimators and inference for higher-order stochastic volatility models
Ahsan, Nazmul
;
Dufour, Jean-Marie
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 181-197
Persistent link: https://www.econbiz.de/10013275370
Saved in:
9
Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 496-522
Persistent link: https://www.econbiz.de/10012482819
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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