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~isPartOf:"EUI working paper / ECO"
~isPartOf:"Journal of econometrics"
~subject:"Optionspreistheorie"
~subject:"Stochastic process"
~subject:"USA"
~subject:"VAR-Modell"
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Search: subject_exact:"Markovsche Kette"
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Optionspreistheorie
Stochastic process
USA
VAR-Modell
Markov chain
128
Markov-Kette
128
Theorie
78
Theory
78
Monte Carlo simulation
44
Monte-Carlo-Simulation
44
Bayes-Statistik
32
Bayesian inference
32
Estimation
30
Schätzung
30
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29
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29
Estimation theory
22
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14
Stochastischer Prozess
13
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11
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Börsenkurs
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Schock
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English
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Lütkepohl, Helmut
4
Koop, Gary
3
Deschamps, Jean-Philippe
2
Dufour, Jean-Marie
2
Herwartz, Helmut
2
Lanne, Markku
2
Marcellino, Massimiliano
2
Steel, Mark F. J.
2
Ahsan, Nazmul
1
Amaro de Matos, João
1
Baldovin, Fulvio
1
Bianchi, Francesco
1
Bognanni, Mark
1
Burda, Martin
1
Calvet, Laurent E.
1
Caporin, Massimiliano
1
Caraglio, Michele
1
Carriero, Andrea
1
Chan, Joshua
1
Chavez-Demoulin, V.
1
Chib, Siddhartha
1
Clark, Todd E.
1
Creal, Drew
1
Dellaportas, Petros
1
Dijk, Dick van
1
Droumaguet, Matthieu
1
Eisenstat, Eric
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Fearnley, Marcus
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1
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1
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Fisher, Adlai
1
Fulop, Andras
1
George, Edward I.
1
Gordon, Stephen F.
1
Gouriéroux, Christian
1
Griffin, J. E.
1
Griffin, Jim E.
1
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European University Institute / Department of Law
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EUI working paper / ECO
Journal of econometrics
European journal of operational research : EJOR
48
International journal of theoretical and applied finance
34
Insurance / Mathematics & economics
26
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
26
Economic modelling
25
Economics letters
21
Quantitative finance
19
Finance and stochastics
18
Mathematics of operations research
18
Energy economics
17
Journal of economic dynamics & control
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Working paper
17
Journal of applied econometrics
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14
Operations research
14
Annals of operations research
13
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13
Discussion papers / Deutsches Institut für Wirtschaftsforschung
13
International journal of forecasting
13
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
12
Journal of banking & finance
12
Journal of empirical finance
12
Risks : open access journal
12
Asia-Pacific financial markets
11
Finance research letters
11
International journal of production research
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Mathematical methods of operations research
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Working paper / Department of Econometrics and Business Statistics, Monash University
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Discussion paper / Centre for Economic Policy Research
10
Mathematical finance : an international journal of mathematics, statistics and financial theory
10
Annals of finance
9
Discussion paper / Tinbergen Institute
9
Econometric reviews
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Journal of forecasting
9
Journal of risk and financial management : JRFM
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Operations research letters
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ECONIS (ZBW)
41
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1
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:
2
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:
3
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:
4
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:
5
Bayesian estimation of dynamic asset pricing models with informative observations
Fulop, Andras
;
Li, Junye
- In:
Journal of econometrics
209
(
2019
)
1
,
pp. 114-138
Persistent link: https://www.econbiz.de/10012302530
Saved in:
6
Bayesian nonparametric vector autoregressive models
Kalli, Maria
;
Griffin, Jim E.
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 267-282
Persistent link: https://www.econbiz.de/10011974694
Saved in:
7
Reaction to technology shocks in Markov-switchings structural VARs : identification via heteroskedasticity
Netšunajev, Aleksei
-
2012
Persistent link: https://www.econbiz.de/10009764682
Saved in:
8
Bayesian testing of Granger causality in Markov-switching VARs
Droumaguet, Matthieu
;
Woźniak, Tomasz
-
2012
Persistent link: https://www.econbiz.de/10009764707
Saved in:
9
Markov-switching MIDAS models
Guérin, Pierre
;
Marcellino, Massimiliano
-
2011
Persistent link: https://www.econbiz.de/10008935686
Saved in:
10
Structural vector autoregressions with Markov switching : combining conventional with statistical identification of shocks
Herwartz, Helmut
;
Lütkepohl, Helmut
-
2011
Persistent link: https://www.econbiz.de/10009008157
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