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~isPartOf:"International journal of finance & economics : IJFE"
~isPartOf:"Journal of empirical finance"
~subject:"Forecasting model"
~subject:"Monte Carlo simulation"
~subject:"Volatilität"
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Search: subject_exact:"Markoff-Kette"
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Forecasting model
Monte Carlo simulation
Volatilität
Markov chain
57
Markov-Kette
57
Estimation
26
Schätzung
26
Theorie
26
Theory
26
Volatility
23
Capital income
17
Kapitaleinkommen
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ARCH model
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Acquah, Benjamin K.
1
Aragó Manzana, Vicent
1
Asai, Manabu
1
BenSaïda, Ahmed
1
Brou, Jean Marcelin Bosson
1
Bu, Ruijun
1
Chakravarty, Sugato
1
Chen, Cathy W. S.
1
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Cheng, Jie
1
Chourdakis, Kyriakos
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1
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1
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1
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1
Floros, Christos
1
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1
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1
Gradojevic, Nikola
1
Hung, Chi-hsiou
1
Jawadi, Fredj
1
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1
King, Maxwell L.
1
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1
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Miu, Peter
1
Morley, James C.
1
Mougoué, Mbodja
1
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1
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International journal of finance & economics : IJFE
Journal of empirical finance
Journal of econometrics
62
Energy economics
39
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
39
International journal of forecasting
35
Journal of forecasting
33
Discussion paper / Tinbergen Institute
32
Economic modelling
27
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
25
European journal of operational research : EJOR
22
Finance research letters
22
Quantitative finance
22
Working paper / Department of Econometrics and Business Statistics, Monash University
21
Applied economics
20
Economics letters
20
The North American journal of economics and finance : a journal of financial economics studies
17
International review of financial analysis
16
Série des documents de travail / Centre de Recherche en Économie et Statistique
16
Econometric reviews
15
Computational economics
14
Journal of banking & finance
14
Journal of economic dynamics & control
14
Risks : open access journal
14
Working paper
14
Applied economics letters
13
International review of economics & finance : IREF
13
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
12
International journal of theoretical and applied finance
12
Review of quantitative finance and accounting
11
Journal of mathematical finance
10
Journal of risk and financial management : JRFM
10
CESifo working papers
9
Insurance / Mathematics & economics
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Journal of the American Statistical Association : JASA
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The European journal of finance
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Working papers
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CAMA working paper series
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Discussion paper / Centre for Economic Policy Research
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Econometric Institute research papers
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ECONIS (ZBW)
27
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1
A latent-factor-driven endogenous regime-switching non-Gaussian model : evidence from simulation and application
Bu, Ruijun
;
Cheng, Jie
;
Jawadi, Fredj
- In:
International journal of finance & economics : IJFE
27
(
2022
)
4
,
pp. 3881-3896
Persistent link: https://www.econbiz.de/10013461280
Saved in:
2
An empirical application of Particle Markov Chain Monte Carlo to frailty correlated default models
Nguyen, Ha
- In:
Journal of empirical finance
72
(
2023
),
pp. 103-121
Persistent link: https://www.econbiz.de/10014476811
Saved in:
3
A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks
Pollastri, Alessandro
;
Rodrigues, Paulo Jorge Maurício
; …
- In:
Journal of empirical finance
70
(
2023
),
pp. 322-341
Persistent link: https://www.econbiz.de/10014423714
Saved in:
4
Are cryptocurrencies a safe haven for stock investors? : a regime-switching approach
Li, Leon
;
Miu, Peter
- In:
Journal of empirical finance
70
(
2023
),
pp. 367-385
Persistent link: https://www.econbiz.de/10014423734
Saved in:
5
Bayesian non-linear quantile effects on modelling realized kernels
Dong, Manh Cuong
;
Chen, Cathy W. S.
;
Asai, Manabu
- In:
International journal of finance & economics : IJFE
28
(
2023
)
1
,
pp. 981-995
Persistent link: https://www.econbiz.de/10014253335
Saved in:
6
Dynamic asset allocation with multiple regime-switching markets
Shi, Jianmin
- In:
International journal of finance & economics : IJFE
28
(
2023
)
2
,
pp. 1741-1755
Persistent link: https://www.econbiz.de/10014253444
Saved in:
7
Effects of diamond price volatility on stock returns : evidence from a developing economy
Brou, Jean Marcelin Bosson
;
Mougoué, Mbodja
;
Kouassi, …
- In:
International journal of finance & economics : IJFE
27
(
2022
)
1
,
pp. 1025-1043
Persistent link: https://www.econbiz.de/10012814972
Saved in:
8
Volatility forecasting revisited using Markov-switching with time-varying probability transition
Wang, Jiqian
;
Ma, Feng
;
Liang, Chao
;
Chen, Zhonglu
- In:
International journal of finance & economics : IJFE
27
(
2022
)
1
,
pp. 1387-1400
Persistent link: https://www.econbiz.de/10012815077
Saved in:
9
Volatility cascades in cryptocurrency trading
Gradojevic, Nikola
;
Tsiakas, Ilias
- In:
Journal of empirical finance
62
(
2021
),
pp. 252-265
Persistent link: https://www.econbiz.de/10012693424
Saved in:
10
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:
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