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~isPartOf:"Bulletin of economic research"
~isPartOf:"Econometric theory"
~isPartOf:"Emerging markets review"
~isPartOf:"The journal of futures markets"
~subject:"ARCH model"
~subject:"Bayesian inference"
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Search: subject_exact:"Markov process"
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ARCH model
Bayesian inference
Markov chain
45
Markov-Kette
45
Theorie
19
Theory
19
ARCH-Modell
14
Estimation
10
Schätzung
10
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10
Volatilität
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2
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1
Adrangi, Bahram
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Aye, Goodness C.
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Bulletin of economic research
Econometric theory
Emerging markets review
The journal of futures markets
Journal of econometrics
37
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
30
Energy economics
22
International journal of forecasting
20
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
18
Economic modelling
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Discussion paper / Tinbergen Institute
16
Journal of empirical finance
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Working paper / Department of Econometrics and Business Statistics, Monash University
14
Economics letters
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Journal of forecasting
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The North American journal of economics and finance : a journal of financial economics studies
12
Working papers
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Applied economics
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
11
European journal of operational research : EJOR
11
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8
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8
Finance research letters
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Journal of economic dynamics & control
8
Journal of financial econometrics : official journal of the Society for Financial Econometrics
8
Journal of risk and financial management : JRFM
8
Journal of the American Statistical Association : JASA
8
SFB 649 discussion paper
8
Série des documents de travail / Centre de Recherche en Économie et Statistique
8
Working papers in economics and statistics
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Applied economics letters
7
Econometric Institute research papers
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International review of economics & finance : IREF
7
International review of financial analysis
7
Journal of applied econometrics
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Marketing science : the marketing journal of the Institute for Operations Research and the Management Sciences
7
Research in international business and finance
7
CESifo working papers
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
6
Econometrics : open access journal
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Insurance / Mathematics & economics
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Journal of banking & finance
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ECONIS (ZBW)
16
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1
Performance comparison of alternative stochastic volatility models and its determinants in energy futures : COVID-19 and Russia-Ukraine conflict features
Fernandes, Mário Correia
;
Dias, José Carlos
;
Nunes, …
- In:
The journal of futures markets
44
(
2024
)
3
,
pp. 343-383
Persistent link: https://www.econbiz.de/10014475488
Saved in:
2
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:
3
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:
4
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:
5
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:
6
Spot market volatility and futures trading : the pitfalls of using a dummy variable approach
Bohl, Martin T.
;
Diesteldorf, Jeanne
;
Salm, Christian
; …
- In:
The journal of futures markets
36
(
2016
)
1
,
pp. 30-45
Persistent link: https://www.econbiz.de/10011567524
Saved in:
7
Causality between inflation and inflation uncertainty in South Africa: evidence from a Markov-switching vector autoregressive model
Nasr, Adnen Ben
;
Balcilar, Mehmet
;
Ajmi, Ahdi Noomen
; …
- In:
Emerging markets review
24
(
2015
),
pp. 46-68
Persistent link: https://www.econbiz.de/10011538531
Saved in:
8
A jump diffusion model for agricultural commodities with Bayesian analysis
Schmitz, Adam
;
Wang, Zhiguang
;
Kimn, Jung-han
- In:
The journal of futures markets
34
(
2014
)
3
,
pp. 235-260
Persistent link: https://www.econbiz.de/10010355435
Saved in:
9
Optimal futures hedging under multichain Markov regime switching
Sheu, Her-jiun
;
Lee, Hsiang-tai
- In:
The journal of futures markets
34
(
2014
)
2
,
pp. 173-202
Persistent link: https://www.econbiz.de/10010255473
Saved in:
10
The Tunisian stock market index volatility : long memory vs. switching regime
Charfeddine, Lanouar
;
Ajmi, Ahdi Noomen
- In:
Emerging markets review
16
(
2013
),
pp. 145-169
Persistent link: https://www.econbiz.de/10010243139
Saved in:
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