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~isPartOf:"Applied economics letters"
~subject:"ARCH model"
~subject:"Aktienmarkt"
~subject:"Time series analysis"
~subject:"Volatility"
~type_genre:"Aufsatz in Zeitschrift"
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ARCH model
Aktienmarkt
Time series analysis
Volatility
Markov chain
39
Markov-Kette
39
Estimation
14
Schätzung
14
Theorie
8
Theory
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Aufsatz in Zeitschrift
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Chevallier, Julien
2
Ma, Feng
2
Azhar Mohamad
1
Caputo, Rodrigo
1
Cavicchioli, Maddalena
1
Chang, Kuang-Liang
1
Chen, Miao-Ling
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Gatumel, Mathieu
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Goutte, Stéphane
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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
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Ordóñez, Félix
1
Shen, Xin
1
Shi, Yanlin
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Soybilgen, Barış
1
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Applied economics letters
Journal of econometrics
39
Energy economics
37
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
34
Economic modelling
33
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
32
International journal of forecasting
30
Applied economics
28
Journal of empirical finance
23
Journal of forecasting
23
Economics letters
22
Finance research letters
22
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
17
International review of financial analysis
17
The North American journal of economics and finance : a journal of financial economics studies
17
International review of economics & finance : IREF
15
Econometric reviews
14
Quantitative finance
14
Computational economics
13
International journal of theoretical and applied finance
13
Journal of banking & finance
13
Review of quantitative finance and accounting
13
International journal of finance & economics : IJFE
12
Macroeconomic dynamics
12
The European journal of finance
12
Journal of applied econometrics
11
Journal of economic dynamics & control
10
Journal of mathematical finance
9
Journal of risk and financial management : JRFM
9
Econometric theory
8
Econometrics : open access journal
8
Research in international business and finance
8
The journal of futures markets
8
Applied financial economics
7
Applied mathematical finance
7
International Journal of Financial Studies : open access journal
6
International journal of economics and finance
6
Journal of financial econometrics : official journal of the Society for Financial Econometrics
6
Journal of macroeconomics
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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ECONIS (ZBW)
14
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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
A matrix approach to the Beveridge-Nelson decomposition of Markov-switching processes with applications to business cycle
Cavicchioli, Maddalena
- In:
Applied economics letters
28
(
2021
)
19
,
pp. 1648-1655
Persistent link: https://www.econbiz.de/10012652565
Saved in:
6
Identifying Turkish business cycle regimes in real time
Soybilgen, Barış
- In:
Applied economics letters
27
(
2020
)
1
,
pp. 62-66
Persistent link: https://www.econbiz.de/10012205374
Saved in:
7
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:
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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