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~isPartOf:"Energy economics"
~source:"econis"
~subject:"ARCH model"
~subject:"Aktienmarkt"
~subject:"Bayes-Statistik"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Collection of articles written by one author"
~type_genre:"Graue Literatur"
~type_genre:"Sammlung"
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Search: subject_exact:"Markov chain"
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ARCH model
Aktienmarkt
Bayes-Statistik
Markov chain
55
Markov-Kette
55
Volatility
33
Volatilität
33
Oil price
25
Ölpreis
25
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23
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14
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Aufsatz in Zeitschrift
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Balcilar, Mehmet
2
Ma, Feng
2
Alizadeh-Masoodian, Amir H.
1
Ausín, M. Concepción
1
Bao Hoang Nguyen
1
Baum, Christopher F.
1
Billio, Monica
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Bouri, Elie
1
Cao, Yang
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Casarin, Roberto
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1
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1
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1
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1
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1
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Huang, Chih-Yueh
1
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1
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Energy economics
Journal of econometrics
39
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
29
Economic modelling
22
International journal of forecasting
22
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
21
Journal of empirical finance
18
Discussion paper / Tinbergen Institute
17
Applied economics
16
The North American journal of economics and finance : a journal of financial economics studies
15
Working paper / Department of Econometrics and Business Statistics, Monash University
15
Economics letters
14
Finance research letters
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Journal of forecasting
13
Working papers
13
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
12
European journal of operational research : EJOR
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International review of financial analysis
11
Journal of economic dynamics & control
10
Applied economics letters
9
Econometric reviews
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International review of economics & finance : IREF
9
Journal of risk and financial management : JRFM
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Quantitative finance
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Research in international business and finance
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CORE discussion papers : DP
8
Computational economics
8
Journal of applied econometrics
8
Journal of banking & finance
8
Journal of financial econometrics : official journal of the Society for Financial Econometrics
8
Journal of the American Statistical Association : JASA
8
SFB 649 discussion paper
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Série des documents de travail / Centre de Recherche en Économie et Statistique
8
Working papers in economics and statistics
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CESifo working papers
7
Econometric Institute research papers
7
International journal of economics and finance
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Marketing science : the marketing journal of the Institute for Operations Research and the Management Sciences
7
The European journal of finance
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1
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:
2
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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:
9
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
Saved in:
10
Bayesian estimation of stable CARMA spot models for electricity prices
Müller, Gernot
;
Seibert, Armin
- In:
Energy economics
78
(
2019
),
pp. 267-277
Persistent link: https://www.econbiz.de/10012159939
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