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~isPartOf:"Bulletin of economic research"
~isPartOf:"Econometric theory"
~isPartOf:"Emerging markets review"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~isPartOf:"The journal of futures markets"
~subject:"ARCH model"
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Search: subject_exact:"Markov process"
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ARCH model
Markov chain
72
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ARCH-Modell
24
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24
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23
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Ajmi, Ahdi Noomen
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Bulletin of economic research
Econometric theory
Emerging markets review
The North American journal of economics and finance : a journal of financial economics studies
The journal of futures markets
Energy economics
17
International journal of forecasting
12
Journal of empirical finance
12
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11
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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International review of economics & finance : IREF
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ECONIS (ZBW)
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1
Riemannian-geometric regime-switching covariance hedging
Lee, Hsiang-Tai
- In:
The journal of futures markets
44
(
2024
)
6
,
pp. 1003-1054
Persistent link: https://www.econbiz.de/10014536714
Saved in:
2
S&P 500 volatility, volatility regimes, and economic uncertainty
Adrangi, Bahram
;
Chatrath, Arjun
;
Raffiee, Kambiz
- In:
Bulletin of economic research
75
(
2023
)
4
,
pp. 1362-1387
Persistent link: https://www.econbiz.de/10014436045
Saved in:
3
A Markov regime-switching Cholesky GARCH model for directly estimating the dynamic of optimal hedge ratio
Lee, Hsiang-Tai
- In:
The journal of futures markets
42
(
2022
)
3
,
pp. 389-412
Persistent link: https://www.econbiz.de/10012817925
Saved in:
4
A component Markov regime-switching autoregressive conditional range model
Harris, Richard D. F.
;
Mazibas, Murat
- In:
Bulletin of economic research
74
(
2022
)
2
,
pp. 650-683
Persistent link: https://www.econbiz.de/10013188740
Saved in:
5
Dynamic volatility modelling of Bitcoin using time-varying transition probability Markov-switching GARCH model
Tan, Chia-Yen
;
Koh, You-Beng
;
Ng, Kok-Haur
;
Ng, Kooi-Huat
- In:
The North American journal of economics and finance : a …
56
(
2021
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012821468
Saved in:
6
Risk spillovers and hedge strategies between global crude oil markets and stock markets : do regime switching processes combining long memory and asymmetry matter?
Lin, Ling
;
Zhou, Zhongbao
;
Jiang, Yong
;
Ou, Yangchen
- In:
The North American journal of economics and finance : a …
57
(
2021
),
pp. 1-25
Persistent link: https://www.econbiz.de/10012822126
Saved in:
7
An investigation on mixed housing-cycle structures and asymmetric tail dependences
Chang, Kuang-Liang
- In:
The North American journal of economics and finance : a …
51
(
2020
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012658920
Saved in:
8
Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models
Arellano, Miguel Ataurima
;
Perez Rodriguez, Gabriel
- In:
The North American journal of economics and finance : a …
52
(
2020
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012654810
Saved in:
9
The demand for banking and shadow banking services
Serletis, Apostolos
;
Xu, Libo
- In:
The North American journal of economics and finance : a …
47
(
2019
),
pp. 132-146
Persistent link: https://www.econbiz.de/10012117824
Saved in:
10
Pair trading based on quantile forecasting of smooth transition GARCH models
Chen, Cathy W. S.
;
Wang, Zona
;
Songsak Sriboonchitta
; …
- In:
The North American journal of economics and finance : a …
39
(
2017
),
pp. 38-55
Persistent link: https://www.econbiz.de/10011878579
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