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~isPartOf:"Econometric theory"
~isPartOf:"Emerging markets review"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"Journal of empirical finance"
~subject:"ARCH model"
~subject:"ARMA model"
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Search: subject_exact:"Markov process"
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ARCH model
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Markov chain
117
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117
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35
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35
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34
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Bauwens, Luc
3
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Econometric theory
Emerging markets review
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of empirical finance
Energy economics
17
International journal of forecasting
12
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11
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1
Bayesian nonparametric panel Markov-switching GARCH models
Casarin, Roberto
;
Costantini, Mauro
;
Osuntuyi, Anthony
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
1
,
pp. 135-146
Persistent link: https://www.econbiz.de/10014449842
Saved in:
2
Markov switching GARCH models : higher order moments, kurtosis measures, and volatility evaluation in recessions and pandemic
Cavicchioli, Maddalena
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
4
,
pp. 1772-1783
Persistent link: https://www.econbiz.de/10013540511
Saved in:
3
Semiparametric GARCH via Bayesian model averaging
Chen, Wilson Ye
;
Gerlach, Richard H.
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
2
,
pp. 437-452
Persistent link: https://www.econbiz.de/10012499090
Saved in:
4
A new approach to volatility modeling : the factorial hidden Markov volatility model
Augustyniak, Maciej
;
Bauwens, Luc
;
Dufays, Arnaud
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
4
,
pp. 696-709
Persistent link: https://www.econbiz.de/10012179366
Saved in:
5
A multiple regime extension to the Heston–Nandi GARCH(1,1) model
Díaz-Hernández, Adán
;
Constantinou, Nick
- In:
Journal of empirical finance
53
(
2019
),
pp. 162-180
Persistent link: https://www.econbiz.de/10012171628
Saved in:
6
Autoregressive moving average infinite hidden Markov-switching models
Bauwens, Luc
;
Carpantier, Jean-François
;
Dufays, Arnaud
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
2
,
pp. 162-182
Persistent link: https://www.econbiz.de/10011704161
Saved in:
7
Multiple risk measures for multivariate dynamic heavy-tailed models
Bernardi, Mauro
;
Maruotti, Antonello
;
Petrella, Lea
- In:
Journal of empirical finance
43
(
2017
),
pp. 1-32
Persistent link: https://www.econbiz.de/10011817885
Saved in:
8
Oil price volatility and macroeconomic fundamentals : a regime switching GARCH-MIDAS model
Pan, Zhiyuan
;
Wang, Yudong
;
Wu, Chongfeng
;
Yin, Libo
- In:
Journal of empirical finance
43
(
2017
),
pp. 130-142
Persistent link: https://www.econbiz.de/10011817944
Saved in:
9
Higher order moemnts of Markov switching varma models
Cavicchioli, Maddalena
- In:
Econometric theory
33
(
2017
)
6
,
pp. 1502-1515
Persistent link: https://www.econbiz.de/10011810429
Saved in:
10
Modeling the dependence of conditional correlations on market volatility
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
2
,
pp. 254-268
Persistent link: https://www.econbiz.de/10011691329
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