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~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~source:"econis"
~subject:"ARCH model"
~subject:"Aktienmarkt"
~subject:"Bayes-Statistik"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Sammlung"
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ARCH model
Aktienmarkt
Bayes-Statistik
Markov chain
57
Markov-Kette
57
Theorie
30
Theory
30
Time series analysis
24
Zeitreihenanalyse
24
Estimation
23
Schätzung
23
Monte Carlo simulation
15
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15
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12
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11
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11
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11
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Nonlinear regression
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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
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
Quantitative finance
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
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
Econometrics : open access journal
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
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1
Markov-switching models with unknown error distributions : identification and inference within the Bayesian framework
Hwu, Shih-Tang
;
Kim, Chang-jin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
2
,
pp. 177-199
Persistent link: https://www.econbiz.de/10014631899
Saved in:
2
Dynamic shrinkage priors for large time-varying parameter regressions using scalable Markov chain Monte Carlo methods
Hauzenberger, Niko
;
Huber, Florian
;
Koop, Gary
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
2
,
pp. 201-225
Persistent link: https://www.econbiz.de/10014631913
Saved in:
3
Modeling corporate CDS spreads using Markov switching regressions
Baltodano López, Ovielt
;
Bulfone, Giacomo
;
Casarin, Roberto
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
2
,
pp. 271-292
Persistent link: https://www.econbiz.de/10014631928
Saved in:
4
Score-driven multi-regime Markov-switching EGARCH : empirical evidence using the Meixner distribution
Blazsek, Szabolcs
;
Haddad, Michel Ferreira Cardia
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
4
,
pp. 589-634
Persistent link: https://www.econbiz.de/10014372917
Saved in:
5
Bayesian bandwidth estimation for local linear fitting in nonparametric regression models
Shang, Han Lin
;
Zhang, Xibin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 55-71
Persistent link: https://www.econbiz.de/10013334620
Saved in:
6
Are multifractal processes suited to forecasting electricity price volatility? : evidence from Australian intraday data
Segnon, Mawuli
;
Lau, Chi Keung
;
Wilfling, Bernd
;
Gupta, …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 73-98
Persistent link: https://www.econbiz.de/10013334628
Saved in:
7
The co-integration of CDS and bonds in time-varying volatility dynamics : do credit risk swaps lower bond risks?
Li, Leon
;
Scrimgeour, Frank G.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
3
,
pp. 475-497
Persistent link: https://www.econbiz.de/10013334844
Saved in:
8
Learning for infinitely divisible GARCH models in option pricing
Zhu, Fumin
;
Bianchi, Michele Leonardo
;
Kim, Young Shin
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
3
,
pp. 35-62
Persistent link: https://www.econbiz.de/10012594154
Saved in:
9
An effcient exact Bayesian method for state space models with stochastic volatility
Huang, Yu-Fan
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
2
,
pp. 1-10
Persistent link: https://www.econbiz.de/10012507436
Saved in:
10
Threshold models with time-varying threshold values and their application in estimating regime-sensitive Taylor rules
Zhu, Yanli
;
Chen, Haiqiang
;
Lin, Ming
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
5
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012198389
Saved in:
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