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~isPartOf:"Applied economics letters"
~subject:"ARCH model"
~subject:"Aktienmarkt"
~subject:"Monte-Carlo-Simulation"
~subject:"Volatility"
~type_genre:"Aufsatz in Zeitschrift"
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ARCH model
Aktienmarkt
Monte-Carlo-Simulation
Volatility
Markov chain
39
Markov-Kette
39
Estimation
14
Schätzung
14
Theorie
8
Theory
8
Volatilität
8
Capital income
6
Kapitaleinkommen
6
ARCH-Modell
5
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Bayes-Statistik
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Commodity derivative
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Coronavirus
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Markov switching
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Multivariate Analyse
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Aufsatz in Zeitschrift
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13
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English
13
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Chevallier, Julien
2
Ma, Feng
2
Azhar Mohamad
1
Caputo, Rodrigo
1
Chang, Kuang-Liang
1
Chen, Miao-Ling
1
Gatumel, Mathieu
1
Goutte, Stéphane
1
Hsu, Ching-Chi
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Ielpo, Florian
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Kim, Young Min
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Lee, Seojin
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Li, Ming-yuan Leon
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Li, Pan
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Li, Tao
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Li, Yong
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Lin, Hsiou-wei William
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Liu, Li
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Liu, Zhichao
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Lu, Xinjie
1
Ordóñez, Félix
1
Seya, Hajime
1
Tomari, Masashi
1
Uno, Shohei
1
Wang, Nianling
1
Wei, Yu
1
Yu, Wei-choun
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Zhan, Yiwei
1
Zhang, Heng
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Applied economics letters
Journal of econometrics
57
Energy economics
39
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
35
Economic modelling
27
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
26
Applied economics
23
Journal of empirical finance
23
Finance research letters
22
International journal of forecasting
21
Quantitative finance
20
Economics letters
18
International review of financial analysis
18
Journal of forecasting
17
The North American journal of economics and finance : a journal of financial economics studies
17
Econometric reviews
14
European journal of operational research : EJOR
14
International journal of theoretical and applied finance
14
Journal of economic dynamics & control
14
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
13
Journal of banking & finance
13
Computational economics
12
International review of economics & finance : IREF
12
Review of quantitative finance and accounting
11
Risks : open access journal
11
The European journal of finance
11
Journal of mathematical finance
10
Insurance / Mathematics & economics
9
Journal of applied econometrics
9
Journal of risk and financial management : JRFM
9
International journal of finance & economics : IJFE
8
Journal of financial econometrics : official journal of the Society for Financial Econometrics
8
Journal of the American Statistical Association : JASA
8
Research in international business and finance
8
The journal of futures markets
8
Applied financial economics
7
Applied mathematical finance
7
Econometrics : open access journal
7
International Journal of Financial Studies : open access journal
6
The econometrics journal
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ECONIS (ZBW)
13
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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
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
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:
5
Parameter estimation in spatial econometric models with non-random missing data
Seya, Hajime
;
Tomari, Masashi
;
Uno, Shohei
- In:
Applied economics letters
28
(
2021
)
6
,
pp. 440-446
Persistent link: https://www.econbiz.de/10012485047
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
Bayesian asset pricing testing under multivariate t-distribution
Zhang, Heng
;
Wang, Nianling
;
Li, Yong
;
Zhan, Yiwei
- In:
Applied economics letters
26
(
2019
)
11
,
pp. 898-901
Persistent link: https://www.econbiz.de/10012204429
Saved in:
8
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:
9
Detecting jumps and regime switches in international stock markets returns
Chevallier, Julien
;
Goutte, Stéphane
- In:
Applied economics letters
22
(
2015
)
13/15
,
pp. 1011-1019
Persistent link: https://www.econbiz.de/10011312229
Saved in:
10
Forecasting realized range volatility : a regime-switching approach
Ma, Feng
;
Liu, Li
;
Liu, Zhichao
;
Wei, Yu
- In:
Applied economics letters
22
(
2015
)
16/18
,
pp. 1361-1365
Persistent link: https://www.econbiz.de/10011380188
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