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~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~subject:"Business cycle"
~subject:"Mathematische Optimierung"
~subject:"Volatilität"
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Business cycle
Mathematische Optimierung
Volatilität
Markov chain
27
Markov-Kette
27
Volatility
14
Estimation
12
Schätzung
12
ARCH model
10
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Aktienmarkt
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Markov switching
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Arellano, Miguel Ataurima
1
Bian, Zhicun
1
Bucci, Andrea
1
Chen, Jianzhong
1
Chen, Miao-Ling
1
Chen, Naiwei
1
Chuang, Wen-i
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Ciciretti, Vito
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Cuñado Eizaguirre, Juncal
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Fan, Jiacheng
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Gupta, Rangan
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Göncü, Ahmet
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Hammoudeh, Shawkat
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Ho, Kin-Yip
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Hong, Hui
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Ji, Qiang
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Jiang, Yong
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Karahan, Mehmet Oğuz
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Khalifa, Ahmed A. A.
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Koh, You-Beng
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Kuzubaş, Tolga Umut
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Lin, Bing-huei
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Lin, Ling
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Liu, Renren
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Ma, Jingtang
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Ng, Kok-Haur
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Otranto, Edoardo
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Ou, Yangchen
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Perez Rodriguez, Gabriel
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Serletis, Apostolos
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Shi, Yanlin
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Tan, Chia-Yen
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Wei, An-Pin
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The North American journal of economics and finance : a journal of financial economics studies
European journal of operational research : EJOR
43
Energy economics
35
Economic modelling
34
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
24
Operations research
22
Applied economics
21
International journal of forecasting
21
Operations research letters
21
Journal of econometrics
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Mathematics of operations research
20
Economics letters
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Journal of empirical finance
17
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Finance research letters
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Mathematical methods of operations research
15
International review of economics & finance : IREF
14
Working paper
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Applied economics letters
13
Journal of economic dynamics & control
13
Journal of banking & finance
12
Computational economics
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Computers & operations research : and their applications to problems of world concern ; an international journal
11
International journal of theoretical and applied finance
11
International review of financial analysis
11
Quantitative finance
11
Review of quantitative finance and accounting
11
Discussion paper / Tinbergen Institute
10
Journal of forecasting
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Journal of mathematical finance
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Working papers
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Macroeconomic dynamics
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The European journal of finance
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Working paper / Department of Econometrics and Business Statistics, Monash University
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CESifo working papers
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Econometric reviews
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International journal of finance & economics : IJFE
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CAMA working paper series
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Discussion papers / Deutsches Institut für Wirtschaftsforschung
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ECONIS (ZBW)
16
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1
Building optimal regime-switching portfolios
Ciciretti, Vito
;
Bucci, Andrea
- In:
The North American journal of economics and finance : a …
64
(
2023
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014246736
Saved in:
2
The nonlinear effect of oil price shocks on financial stress : evidence from China
Liu, Renren
;
Chen, Jianzhong
;
Wen, Fenghua
- In:
The North American journal of economics and finance : a …
55
(
2021
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012667999
Saved in:
3
Dynamic volatility modelling of Bitcoin using time-varying transition probability Markov-switching GARCH model
Tan, Chia-Yen
;
Koh, You-Beng
;
Ng, Kok-Haur
;
Ng, Kooi-Huat
- In:
The North American journal of economics and finance : a …
56
(
2021
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012821468
Saved in:
4
Risk spillovers and hedge strategies between global crude oil markets and stock markets : do regime switching processes combining long memory and asymmetry matter?
Lin, Ling
;
Zhou, Zhongbao
;
Jiang, Yong
;
Ou, Yangchen
- In:
The North American journal of economics and finance : a …
57
(
2021
),
pp. 1-25
Persistent link: https://www.econbiz.de/10012822126
Saved in:
5
Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching : evidence from over a century of data
Ji, Qiang
;
Liu, Bing-Yue
;
Cuñado Eizaguirre, Juncal
; …
- In:
The North American journal of economics and finance : a …
51
(
2020
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012658792
Saved in:
6
Funding liquidity risk and the low-volatility anomaly : evidence from the Taiwan stock market
Hsu, Ching-Chi
;
Wei, An-Pin
;
Chen, Miao-Ling
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-23
Persistent link: https://www.econbiz.de/10012665989
Saved in:
7
Leverage effect on stochastic volatility for option pricing in Hong Kong : a simulation and empirical study
Hong, Hui
;
Bian, Zhicun
;
Chen, Naiwei
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012666125
Saved in:
8
Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models
Arellano, Miguel Ataurima
;
Perez Rodriguez, Gabriel
- In:
The North American journal of economics and finance : a …
52
(
2020
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012654810
Saved in:
9
The demand for banking and shadow banking services
Serletis, Apostolos
;
Xu, Libo
- In:
The North American journal of economics and finance : a …
47
(
2019
),
pp. 132-146
Persistent link: https://www.econbiz.de/10012117824
Saved in:
10
A comparative goodness-of-fit analysis of distributions of some Lévy processes and Heston model to stock index returns
Göncü, Ahmet
;
Karahan, Mehmet Oğuz
;
Kuzubaş, Tolga Umut
- In:
The North American journal of economics and finance : a …
36
(
2016
),
pp. 69-83
Persistent link: https://www.econbiz.de/10011672611
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