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~isPartOf:"International review of financial analysis"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~subject:"Estimation theory"
~subject:"Optionspreistheorie"
~subject:"USA"
~subject:"VAR-Modell"
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Estimation theory
Optionspreistheorie
USA
VAR-Modell
Markov chain
95
Markov-Kette
95
Theorie
49
Theory
49
Estimation
32
Schätzung
32
Bayesian inference
29
Bayes-Statistik
28
Volatility
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Casarin, Roberto
2
Gao, Jiti
2
Allen, David E.
1
Ang, Andrew
1
Bauwens, Luc
1
Bekaert, Geert
1
Berg, Gerard J. van den
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Deb, Parta
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1
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International review of financial analysis
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of econometrics
43
International journal of theoretical and applied finance
27
Economics letters
22
European journal of operational research : EJOR
21
Working paper
18
Economic modelling
17
Journal of economic dynamics & control
15
Discussion paper / Tinbergen Institute
14
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
14
Energy economics
14
Journal of applied econometrics
14
Quantitative finance
14
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
14
Computational economics
13
Discussion papers / Deutsches Institut für Wirtschaftsforschung
13
International journal of forecasting
13
Insurance / Mathematics & economics
12
Finance research letters
11
Applied economics
10
Journal of banking & finance
10
Working paper / Department of Econometrics and Business Statistics, Monash University
10
Working paper / National Bureau of Economic Research, Inc.
10
Annals of finance
9
Applied economics letters
9
Discussion paper / Centre for Economic Policy Research
9
Econometric reviews
9
Finance and stochastics
9
Journal of empirical finance
9
Journal of forecasting
9
Macroeconomic dynamics
9
Mathematical finance : an international journal of mathematics, statistics and financial theory
9
Série des documents de travail / Centre de Recherche en Économie et Statistique
9
EUI working paper / ECO
8
Journal of forensic economics
8
Review of quantitative finance and accounting
8
The North American journal of economics and finance : a journal of financial economics studies
8
The journal of futures markets
8
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8
Asia-Pacific financial markets
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ECONIS (ZBW)
31
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1
Analysis about the black-scholes asset price under the regime-switching framework
Tian, Ping
;
Zhou, Hang
;
Zhou, Duotai
- In:
International review of financial analysis
88
(
2023
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014471870
Saved in:
2
Jump-diffusion volatility models for variance swaps : an empirical performance analysis
Jin, Xing
;
Hong, Yi
- In:
International review of financial analysis
87
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014457699
Saved in:
3
Modeling multivariate time series with copula-linked univariate D-vines
Zhao, Zifeng
;
Shi, Peng
;
Zhang, Zhengjun
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 690-704
Persistent link: https://www.econbiz.de/10013534062
Saved in:
4
Semiparametric GARCH via Bayesian model averaging
Chen, Wilson Ye
;
Gerlach, Richard H.
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
2
,
pp. 437-452
Persistent link: https://www.econbiz.de/10012499090
Saved in:
5
A stochastic volatility model with realized measures for option pricing
Bormetti, Giacomo
;
Casarin, Roberto
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
4
,
pp. 856-871
Persistent link: https://www.econbiz.de/10012313375
Saved in:
6
Bayesian bandwidth estimation in nonparametric time-varying coefficient models
Cheng, Tingting
;
Gao, Jiti
;
Zhang, Xibin
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
1
,
pp. 1-12
Persistent link: https://www.econbiz.de/10012175865
Saved in:
7
Inference on filtered and smoothed probabilities in Markov-switching autoregressive models
Álvarez, Rocío
;
Camacho, Maximo
;
Ruiz Marín, Manuel
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
3
,
pp. 484-495
Persistent link: https://www.econbiz.de/10012178190
Saved in:
8
Market risk and market-implied inflation expectations
Orłowski, Lucjan T.
;
Soper, Carolyne
- In:
International review of financial analysis
66
(
2019
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012208965
Saved in:
9
A Bayesian Markov-switching correlation model for contagion analysis on exchange rate markets
Casarin, Roberto
;
Sartore, Domenico
;
Tronzano, Marco
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
1
,
pp. 101-114
Persistent link: https://www.econbiz.de/10011894407
Saved in:
10
A new class of bivariate threshold cointegration models
Cai, Biqing
;
Gao, Jiti
;
Tjostheim, Dag
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
2
,
pp. 288-305
Persistent link: https://www.econbiz.de/10011704196
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