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~isPartOf:"International journal of finance & economics : IJFE"
~isPartOf:"Journal of empirical finance"
~subject:"Monte Carlo simulation"
~subject:"Risiko"
~subject:"Volatilität"
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Search: subject_exact:"Markoff-Kette"
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Monte Carlo simulation
Risiko
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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28
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Chourdakis, Kyriakos
2
Acquah, Benjamin K.
1
Aragó Manzana, Vicent
1
Asai, Manabu
1
BenSaïda, Ahmed
1
Bernardi, Mauro
1
Brou, Jean Marcelin Bosson
1
Bu, Ruijun
1
Chakravarty, Sugato
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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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1
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1
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1
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1
Gallo, Giampiero M.
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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1
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1
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1
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1
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International journal of finance & economics : IJFE
Journal of empirical finance
Journal of econometrics
58
Energy economics
37
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
34
Discussion paper / Tinbergen Institute
27
Economic modelling
23
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
21
Working paper / Department of Econometrics and Business Statistics, Monash University
20
Economics letters
19
European journal of operational research : EJOR
19
Quantitative finance
19
Applied economics
18
International journal of forecasting
18
Série des documents de travail / Centre de Recherche en Économie et Statistique
18
Finance research letters
17
Journal of forecasting
16
The North American journal of economics and finance : a journal of financial economics studies
15
Econometric reviews
14
Insurance / Mathematics & economics
14
International review of financial analysis
14
Journal of economic dynamics & control
14
Risks : open access journal
14
Computational economics
13
Journal of mathematical finance
13
International journal of theoretical and applied finance
12
Applied economics letters
11
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
10
International review of economics & finance : IREF
10
Journal of banking & finance
10
Review of quantitative finance and accounting
10
The European journal of finance
10
Working paper
10
Journal of risk and financial management : JRFM
9
SFB 649 discussion paper
9
Working papers
9
Discussion paper / Centre for Economic Policy Research
8
Journal of the American Statistical Association : JASA
8
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
8
Economics working paper
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ECONIS (ZBW)
28
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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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