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~isPartOf:"Quantitative finance"
~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:"Sammlung"
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ARCH model
Aktienmarkt
Bayes-Statistik
Markov chain
38
Markov-Kette
38
Theorie
20
Theory
20
Stochastic process
14
Stochastischer Prozess
14
Option pricing theory
12
Optionspreistheorie
12
Volatility
11
Volatilität
11
Portfolio selection
9
Portfolio-Management
9
Estimation
8
Monte Carlo simulation
8
Monte-Carlo-Simulation
8
Schätzung
8
Forecasting model
7
Prognoseverfahren
7
Statistical distribution
7
Statistische Verteilung
7
Börsenkurs
6
Share price
6
Capital income
5
Kapitaleinkommen
5
Risikomaß
5
Risk measure
5
ARCH-Modell
4
Markov chain Monte Carlo
4
Bayesian inference
3
Bubbles
3
Hidden Markov model
3
Option pricing
3
Regime-switching
3
Spekulationsblase
3
Stochastic volatility
3
Stock market
3
Value-at-risk
3
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Aufsatz in Zeitschrift
Collection of articles written by one author
Sammlung
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9
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English
9
Author
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Chen, Qian
2
Gerlach, Richard
2
Wang, Chao
2
Bunn, Derek W.
1
Damien, Paul
1
Demirer, Rıza
1
Demos, Guilherme
1
Gao, Lingbo
1
Gupta, Rangan
1
Guyon, Julien
1
Hsieh, Fushing
1
Kang, Li
1
Khashanah, Khaldoun
1
Lekeufack, Jordan
1
Liu, Xiaoquan
1
Shao, Chenjie
1
Sornette, Didier
1
Walker, Stephen G.
1
Wang, Xiaodong
1
Ye, Wuyi
1
Zhang, Zehua
1
Zhao, Ran
1
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Quantitative finance
Journal of econometrics
39
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
29
Energy economics
23
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
Applied economics
16
The North American journal of economics and finance : a journal of financial economics studies
15
Economics letters
14
Finance research letters
13
Journal of forecasting
13
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
12
European journal of operational research : EJOR
11
International review of financial analysis
11
Journal of economic dynamics & control
10
Applied economics letters
9
Econometric reviews
9
International review of economics & finance : IREF
9
Journal of risk and financial management : JRFM
9
Research in international business and finance
9
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
Econometrics : open access journal
7
International journal of economics and finance
7
Marketing science : the marketing journal of the Institute for Operations Research and the Management Sciences
7
The European journal of finance
7
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
6
Insurance / Mathematics & economics
6
International Journal of Financial Studies : open access journal
6
International journal of theoretical and applied finance
6
Management science : journal of the Institute for Operations Research and the Management Sciences
6
Quantitative marketing and economics : QME
6
Risks : open access journal
6
The journal of futures markets
6
Economic research
5
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ECONIS (ZBW)
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1
Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry
Zhang, Zehua
;
Zhao, Ran
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 35-51
Persistent link: https://www.econbiz.de/10013490951
Saved in:
2
Bubbles and dependence between international equity markets
Ye, Wuyi
;
Gao, Lingbo
;
Liu, Xiaoquan
- In:
Quantitative finance
24
(
2024
)
1
,
pp. 119-138
Persistent link: https://www.econbiz.de/10014551948
Saved in:
3
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
Wang, Chao
;
Gerlach, Richard
;
Chen, Qian
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 309-334
Persistent link: https://www.econbiz.de/10014232647
Saved in:
4
Volatility is (mostly) path-dependent
Guyon, Julien
;
Lekeufack, Jordan
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1221-1258
Persistent link: https://www.econbiz.de/10014339908
Saved in:
5
Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model
Khashanah, Khaldoun
;
Shao, Chenjie
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 241-253
Persistent link: https://www.econbiz.de/10013167735
Saved in:
6
Unraveling S&P500 stock volatility and networks : an encoding-and-decoding approach
Wang, Xiaodong
;
Hsieh, Fushing
- In:
Quantitative finance
22
(
2022
)
5
,
pp. 997-1016
Persistent link: https://www.econbiz.de/10013367879
Saved in:
7
Bayesian estimation of electricity price risk with a multi-factor mixture of densities
Kang, Li
;
Walker, Stephen G.
;
Damien, Paul
;
Bunn, Derek W.
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1535-1544
Persistent link: https://www.econbiz.de/10013367927
Saved in:
8
On the predictability of stock market bubbles : evidence from LPPLS confidence multi-scale indicators
Demirer, Rıza
;
Demos, Guilherme
;
Gupta, Rangan
; …
- In:
Quantitative finance
19
(
2019
)
5
,
pp. 843-858
Persistent link: https://www.econbiz.de/10012194719
Saved in:
9
Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution
Wang, Chao
;
Chen, Qian
;
Gerlach, Richard
- In:
Quantitative finance
19
(
2019
)
6
,
pp. 1017-1042
Persistent link: https://www.econbiz.de/10012194739
Saved in:
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