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~isPartOf:"EUI working paper / ECO"
~isPartOf:"Journal of econometrics"
~subject:"Optionspreistheorie"
~subject:"USA"
~subject:"VAR-Modell"
~subject:"Volatilität"
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Search: subject_exact:"Markovsche Kette"
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Optionspreistheorie
USA
VAR-Modell
Volatilität
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
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30
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29
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22
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Stochastischer Prozess
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Markov chain Monte Carlo
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Lütkepohl, Helmut
4
Calvet, Laurent E.
2
Deschamps, Jean-Philippe
2
Dufour, Jean-Marie
2
Fisher, Adlai
2
Herwartz, Helmut
2
Koop, Gary
2
Lanne, Markku
2
Marcellino, Massimiliano
2
Steel, Mark F. J.
2
Ahsan, Nazmul
1
Amaro de Matos, João
1
Baldovin, Fulvio
1
Bauwens, Luc
1
Bianchi, Francesco
1
Bognanni, Mark
1
Burda, Martin
1
Caporin, Massimiliano
1
Caraglio, Michele
1
Carriero, Andrea
1
Chen, Fei
1
Chib, Siddhartha
1
Clark, Todd E.
1
Creal, Drew
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Dellaportas, Petros
1
Diebold, Francis X.
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Dijk, Dick van
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Droumaguet, Matthieu
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Fearnley, Marcus
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George, Edward I.
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Gordon, Stephen F.
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Gouriéroux, Christian
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Griffin, J. E.
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Griffin, Jim E.
1
Guérin, Pierre
1
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European University Institute / Department of Law
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EUI working paper / ECO
Journal of econometrics
Energy economics
39
Economic modelling
33
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
31
International journal of theoretical and applied finance
30
Economics letters
25
Applied economics
22
International journal of forecasting
22
Finance research letters
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Working paper
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Journal of empirical finance
19
European journal of operational research : EJOR
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Journal of economic dynamics & control
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International review of financial analysis
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The North American journal of economics and finance : a journal of financial economics studies
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14
International review of economics & finance : IREF
14
Journal of applied econometrics
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Journal of banking & finance
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Applied economics letters
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Discussion papers / Deutsches Institut für Wirtschaftsforschung
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Working paper / Department of Econometrics and Business Statistics, Monash University
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9
Insurance / Mathematics & economics
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International journal of finance & economics : IJFE
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ECONIS (ZBW)
43
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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
Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 496-522
Persistent link: https://www.econbiz.de/10012482819
Saved in:
6
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:
7
Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of econometrics
213
(
2019
)
2
,
pp. 493-515
Persistent link: https://www.econbiz.de/10012304579
Saved in:
8
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:
9
Reaction to technology shocks in Markov-switchings structural VARs : identification via heteroskedasticity
Netšunajev, Aleksei
-
2012
Persistent link: https://www.econbiz.de/10009764682
Saved in:
10
Bayesian testing of Granger causality in Markov-switching VARs
Droumaguet, Matthieu
;
Woźniak, Tomasz
-
2012
Persistent link: https://www.econbiz.de/10009764707
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