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~isPartOf:"Economic modelling"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"Markov chain"
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Search: subject_exact:"ARCH model"
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Markov chain
ARCH model
354
ARCH-Modell
354
Volatility
241
Volatilität
241
Estimation
118
Schätzung
118
Theorie
105
Theory
105
Capital income
96
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Time series analysis
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Spillover effect
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Spillover-Effekt
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Statistical distribution
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Statistische Verteilung
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Portfolio selection
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Portfolio-Management
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BenSaïda, Ahmed
2
Abdallah, Oussama
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Aragó Manzana, Vicent
1
Bernardi, Mauro
1
Chang, Kuang-Liang
1
Changqing, Luo
1
Chi, Xie
1
Chourdakis, Kyriakos
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Cong, Yu
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Constantinou, Nick
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Dotsis, George
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Dua, Pami
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Hsu, Yuan-Lin
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Huang, Tzu-Hui
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Hung, Ming-Chin
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Jalal, Amine
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Kirby, Chris
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Miao, Daniel Wei-Chung
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Economic modelling
Journal of empirical finance
Journal of financial econometrics : official journal of the Society for Financial Econometrics
Energy economics
17
International journal of forecasting
12
Applied economics
11
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
11
The North American journal of economics and finance : a journal of financial economics studies
10
Journal of econometrics
8
International review of economics & finance : IREF
7
Journal of forecasting
7
Economics letters
6
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
6
Finance research letters
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Applied economics letters
5
CORE discussion papers : DP
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International Journal of Financial Studies : open access journal
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International review of financial analysis
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The European journal of finance
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Econometric theory
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Emerging markets review
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Research in international business and finance
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SFB 649 discussion paper
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The journal of futures markets
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CREATES research paper
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Computational economics
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Department of Economics discussion paper series / University of Oxford
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Discussion paper / Tinbergen Institute
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Discussion papers / Deutsches Institut für Wirtschaftsforschung
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International journal of economics and finance
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International journal of finance & economics : IJFE
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Journal of banking & finance
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SSE EFI working paper series in economics and finance
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The econometrics journal
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ECONIS (ZBW)
25
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1
Hedge fund return higher moments over the business cycle
Racicot, François-Éric
;
Théoret, Raymond
- In:
Economic modelling
78
(
2019
),
pp. 73-97
Persistent link: https://www.econbiz.de/10012198849
Saved in:
2
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:
3
Volatility spillover shifts in global financial markets
BenSaïda, Ahmed
;
Litimi, Houda
;
Abdallah, Oussama
- In:
Economic modelling
73
(
2018
),
pp. 343-353
Persistent link: https://www.econbiz.de/10012100545
Saved in:
4
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:
5
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:
6
A discussion on the innovation distribution of the Markov regime-switching GARCH model
Shi, Yanlin
;
Feng, Lingbing
- In:
Economic modelling
53
(
2016
),
pp. 278-288
Persistent link: https://www.econbiz.de/10011641034
Saved in:
7
Empirical analysis of stock indices under a regime-switching model with dependent jump size risks
Hsu, Yuan-Lin
;
Lin, Shih-kuei
;
Hung, Ming-Chin
;
Huang, …
- In:
Economic modelling
54
(
2016
),
pp. 260-275
Persistent link: https://www.econbiz.de/10011642172
Saved in:
8
Infinite-state markov-switching for dynamic volatility
Dufays, Arnaud
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 418-460
Persistent link: https://www.econbiz.de/10011589021
Saved in:
9
Financial crises and dynamic linkages across international stock and currency markets
Dua, Pami
;
Tuteja, Divya
- In:
Economic modelling
59
(
2016
),
pp. 249-261
Persistent link: https://www.econbiz.de/10011647825
Saved in:
10
Measuring financial market risk contagion using dynamic MRS-Copula models : the case of Chinese and other international stock markets
Changqing, Luo
;
Chi, Xie
;
Cong, Yu
;
Yan, Xu
- In:
Economic modelling
51
(
2015
),
pp. 657-671
Persistent link: https://www.econbiz.de/10011476241
Saved in:
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