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~isPartOf:"Finance research letters"
~isPartOf:"The European journal of finance"
~subject:"Volatilität"
~type:"article"
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Search: subject_exact:"Markoff-Kette"
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Volatilität
Markov chain
58
Markov-Kette
58
Volatility
24
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19
Schätzung
19
Capital income
17
Kapitaleinkommen
17
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Copeland, Laurence S.
2
Lin, Shih-kuei
2
Shi, Yanlin
2
Abakah, Emmanuel Joel Aikins
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Alagidede, Imhotep Paul
1
Alam, Md Rafayet
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Panopulu, Aikaterinē
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Finance research letters
The European journal of finance
Energy economics
33
Economic modelling
21
Journal of econometrics
18
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
17
Journal of empirical finance
16
Applied economics
15
The North American journal of economics and finance : a journal of financial economics studies
14
International journal of forecasting
13
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
12
International review of financial analysis
11
Quantitative finance
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International review of economics & finance : IREF
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Economics letters
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International journal of theoretical and applied finance
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International journal of finance & economics : IJFE
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Journal of risk and financial management : JRFM
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Research in international business and finance
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The journal of futures markets
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5
Applied mathematical finance
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Econometrics : open access journal
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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International journal of financial engineering
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Annals of finance
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European journal of operational research : EJOR
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Finance and stochastics
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Macroeconomic dynamics
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The empirical economics letters : a monthly international journal of economics
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The journal of computational finance
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ECONIS (ZBW)
24
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1
Momentum and market volatility : a Bayesian regime-switching model
Cao, Jia
;
Copeland, Laurence S.
- In:
The European journal of finance
29
(
2023
)
5
,
pp. 483-507
Persistent link: https://www.econbiz.de/10014322539
Saved in:
2
Valuation of chooser options with state-dependent risks
Lian, Yu-Min
;
Chen, Jun-Home
- In:
Finance research letters
52
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014471998
Saved in:
3
The pricing of unexpected volatility in the currency market
Copeland, Laurence S.
;
Xu, Yongdeng
- In:
The European journal of finance
29
(
2023
)
17
,
pp. 2032-2046
Persistent link: https://www.econbiz.de/10014388546
Saved in:
4
Regime-switching angular correlation diversification
Lee, Hsiang-Tai
- In:
Finance research letters
50
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014234140
Saved in:
5
Re-examination of risk-return dynamics in international equity markets and the role of policy uncertainty, geopolitical risk and VIX : evidence using Markov-switching copulas
Abakah, Emmanuel Joel Aikins
;
Tiwari, Aviral Kumar
; …
- In:
Finance research letters
47
(
2022
)
1
,
pp. 1-8
Persistent link: https://www.econbiz.de/10013455804
Saved in:
6
Jointly forecasting the value-at-risk and expected shortfall of Bitcoin with a regime-switching CAViaR model
Gao, Lingbo
;
Ye, Wuyi
;
Guo, Ranran
- In:
Finance research letters
48
(
2022
),
pp. 1-10
Persistent link: https://www.econbiz.de/10013459321
Saved in:
7
Consumption- and speculation-led change in demand for oil and the response of base metals : a Markov-switching approach
Alam, Md Rafayet
;
Forhad, Abdur Rahman
;
Sah, Nilesh B.
- In:
Finance research letters
47
(
2022
)
2
,
pp. 1-7
Persistent link: https://www.econbiz.de/10013553901
Saved in:
8
Discussions on the Zero-drift GARCH model : evidence from an Markov regime-switching extension
Feng, Lingbing
;
Fu, Tong
;
Shi, Yanlin
;
Wang, Zili
- In:
Finance research letters
40
(
2021
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012819431
Saved in:
9
Does the financial leverage effect depend on volatility regimes?
Chon, Sora
;
Kim, Jaeho
- In:
Finance research letters
39
(
2021
),
pp. 1-7
Persistent link: https://www.econbiz.de/10012805319
Saved in:
10
News sentiment and states of stock return volatility : evidence from long memory and discrete choice models
Shi, Yanlin
;
Ho, Kin-Yip
- In:
Finance research letters
38
(
2021
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012485650
Saved in:
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