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~person:"Balcilar, Mehmet"
~person:"Bauwens, Luc"
~person:"Otranto, Edoardo"
~person:"So, Mike Ka-pui"
~subject:"ARCH model"
~type_genre:"Article in journal"
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Search: subject_exact:"Markov process"
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ARCH model
Markov chain
29
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15
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14
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14
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10
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10
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Balcilar, Mehmet
Bauwens, Luc
Otranto, Edoardo
So, Mike Ka-pui
Lee, Hsiang-Tai
8
Ma, Feng
7
Chang, Kuang-Liang
6
Chen, Cathy W. S.
6
Shi, Yanlin
5
Lu, Xinjie
4
Serletis, Apostolos
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4
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3
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3
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3
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3
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3
Haas, Markus
3
Hammoudeh, Shawkat
3
Ho, Kin-Yip
3
Lee, Chien-chiang
3
Li, Ming-yuan Leon
3
Maheu, John M.
3
Siu, Tak Kuen
3
Wang, Jiqian
3
Wilfling, Bernd
3
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2
Alizadeh-Masoodian, Amir H.
2
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2
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Asai, Manabu
2
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2
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2
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2
Cavicchioli, Maddalena
2
Dias, José G.
2
Elliott, Robert J.
2
Feng, Lingbing
2
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2
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International journal of forecasting
2
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2
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2
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2
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1
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1
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1
International review of economics & finance : IREF
1
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1
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ECONIS (ZBW)
15
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1
Realized volatility forecasting : Robustness to measurement errors
Cipollini, Fabrizio
;
Gallo, Giampiero M.
;
Otranto, Edoardo
- In:
International journal of forecasting
37
(
2021
)
1
,
pp. 44-57
Persistent link: https://www.econbiz.de/10012692572
Saved in:
2
Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 496-522
Persistent link: https://www.econbiz.de/10012482819
Saved in:
3
A new approach to volatility modeling : the factorial hidden Markov volatility model
Augustyniak, Maciej
;
Bauwens, Luc
;
Dufays, Arnaud
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
4
,
pp. 696-709
Persistent link: https://www.econbiz.de/10012179366
Saved in:
4
Empirical analysis of bitcoin prices using threshold time series models
Guzman, Rodolfo Angelo Magtanggol III de
;
So, Mike Ka-pui
- In:
Annals of financial economics
13
(
2018
)
4
,
pp. 1-24
Persistent link: https://www.econbiz.de/10011984103
Saved in:
5
Modeling the dependence of conditional correlations on market volatility
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
2
,
pp. 254-268
Persistent link: https://www.econbiz.de/10011691329
Saved in:
6
Volatility transmission across currencies and commodities with US uncertainty measures
Khalifa, Ahmed A. A.
;
Otranto, Edoardo
;
Hammoudeh, Shawkat
- In:
The North American journal of economics and finance : a …
37
(
2016
),
pp. 63-83
Persistent link: https://www.econbiz.de/10011672897
Saved in:
7
Causality between inflation and inflation uncertainty in South Africa: evidence from a Markov-switching vector autoregressive model
Nasr, Adnen Ben
;
Balcilar, Mehmet
;
Ajmi, Ahdi Noomen
; …
- In:
Emerging markets review
24
(
2015
),
pp. 46-68
Persistent link: https://www.econbiz.de/10011538531
Saved in:
8
The time-varying causality between spot and futures crude oil prices : a regime switching approach
Balcilar, Mehmet
;
Gungor, Hasan
;
Hammoudeh, Shawkat
- In:
International review of economics & finance : IREF
40
(
2015
),
pp. 51-71
Persistent link: https://www.econbiz.de/10011571896
Saved in:
9
Marginal likelihood for Markov-switching and change-point GARCH models
Bauwens, Luc
;
Dufays, Arnaud
;
Rombouts, Jeroen V. K.
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 508-522
Persistent link: https://www.econbiz.de/10010256919
Saved in:
10
Investor herds and regime-switching : evidence from Gulf Arab stock markets
Balcilar, Mehmet
;
Demirer, Rıza
;
Hammoudeh, Shawkat
- In:
Journal of international financial markets, …
23
(
2013
),
pp. 295-321
Persistent link: https://www.econbiz.de/10009707497
Saved in:
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