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~isPartOf:"Econometric theory"
~isPartOf:"Economics letters"
~isPartOf:"Energy economics"
~subject:"ARCH model"
~subject:"Estimation theory"
~subject:"Schätztheorie"
~subject:"Spieltheorie"
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Search: subject_exact:"Markov process"
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ARCH model
Estimation theory
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Spieltheorie
Markov chain
138
Markov-Kette
138
Theorie
60
Theory
60
Volatility
42
Volatilität
42
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37
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Dimitrakopoulos, Stefanos
3
Ma, Feng
2
Meitz, Mika
2
Saikkonen, Pentti
2
Abramson, Ari
1
Alizadeh-Masoodian, Amir H.
1
Ausín, M. Concepción
1
Ay, Jean-Sauveur
1
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Econometric theory
Economics letters
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Dynamic games and applications : DGA
33
Journal of econometrics
29
Mathematics of operations research
21
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
19
International journal of forecasting
15
Journal of empirical finance
14
Computational economics
13
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Journal of forecasting
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European journal of operational research : EJOR
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Série des documents de travail / Centre de Recherche en Économie et Statistique
8
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Econometric reviews
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International review of economics & finance : IREF
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Journal of economic dynamics & control
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Mathematical methods of operations research
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Quantitative finance
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Working paper / Department of Econometrics and Business Statistics, Monash University
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Working papers / Penn Institute for Economic Research
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
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International journal of game theory : official journal of the Game Theory Society
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Quantitative economics : QE ; journal of the Econometric Society
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Quantitative marketing and economics : QME
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SSE EFI working paper series in economics and finance
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The econometrics journal
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1
Impulse response function analysis for Markov switching VAR models
Cavicchioli, Maddalena
- In:
Economics letters
232
(
2023
),
pp. 1-4
Persistent link: https://www.econbiz.de/10014464479
Saved in:
2
Regime specific spillovers across US sectors and the role of oil price volatility
Hernandez, Jose Arreola
;
Shahzad, Syed Jawad Hussain
; …
- In:
Energy economics
107
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013202566
Saved in:
3
Forecasting renewable energy stock volatility using short and long-term Markov switching GARCH-MIDAS models : either, neither or both?
Wang, Lu
;
Wu, Jiangbin
;
Cao, Yang
;
Hong, Yanran
- In:
Energy economics
111
(
2022
),
pp. 1-12
Persistent link: https://www.econbiz.de/10013349997
Saved in:
4
Modelling the volatility of TOCOM energy futures : a regime switching realised volatility approach
Alizadeh-Masoodian, Amir H.
;
Huang, Chih-Yueh
;
Marsh, Ian
- In:
Energy economics
93
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012643308
Saved in:
5
Oil shocks and stock market volatility : new evidence
Lu, Xinjie
;
Ma, Feng
;
Wang, Jiqian
;
Zhu, Bo
- In:
Energy economics
103
(
2021
),
pp. 1-11
Persistent link: https://www.econbiz.de/10013364063
Saved in:
6
Capturing the dynamics of the China crude oil futures : Markov switching, co-movement, and volatility forecasting
Liu, Min
;
Lee, Chien-chiang
- In:
Energy economics
103
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013364085
Saved in:
7
A dynamic conditional regime-switching GARCH CAPM for energy and financial markets
Urom, Christian
;
Chevallier, Julien
;
Zhu, Bangzhu
- In:
Energy economics
85
(
2020
),
pp. 1-45
Persistent link: https://www.econbiz.de/10012510103
Saved in:
8
Forecasting crude oil price volatility via a HM-EGARCH model
Lin, Yu
;
Yang, Xiaoming
;
Li, Fuxing
- In:
Energy economics
87
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012512591
Saved in:
9
Copula stochastic volatility in oil returns : approximate Bayesian computation with volatility prediction
Virbickaitė, Audronė
;
Ausín, M. Concepción
; …
- In:
Energy economics
92
(
2020
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012519661
Saved in:
10
On realized volatility of crude oil futures markets : forecasting with exogenous predictors under structural breaks
Luo, Jiawen
;
Ji, Qiang
;
Klein, Tony
;
Todorova, Neda
; …
- In:
Energy economics
89
(
2020
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012517048
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