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~person:"Balcilar, Mehmet"
~person:"Bauwens, Luc"
~person:"Otranto, Edoardo"
~subject:"ARCH model"
~subject:"Bayes-Statistik"
~type_genre:"Article in journal"
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Search: subject_exact:"Markov process"
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ARCH model
Bayes-Statistik
Markov chain
22
Markov-Kette
22
ARCH-Modell
11
Estimation
9
Schätzung
9
Volatility
9
Volatilität
9
Theorie
6
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5
Time series analysis
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Markov switching
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Balcilar, Mehmet
Bauwens, Luc
Otranto, Edoardo
Tsionas, Efthymios G.
17
Lee, Hsiang-Tai
8
Li, Yong
8
Casarin, Roberto
7
Chen, Cathy W. S.
7
Gupta, Rangan
7
Ma, Feng
7
Chang, Kuang-Liang
6
Gerlach, Richard
6
Shi, Yanlin
6
So, Mike Ka-pui
6
Yu, Jun
6
Billio, Monica
5
Dimitrakopoulos, Stefanos
5
Dufays, Arnaud
5
Kim, Chang-jin
5
Maheu, John M.
5
Nakatsuma, Teruo
5
Wirjanto, Tony S.
5
Dijk, Dick van
4
Dijk, Herman K. van
4
Kalli, Maria
4
Kang, Kyu Ho
4
Kolkiewicz, Adam W.
4
Koop, Gary
4
Lesage, James P.
4
Lu, Xinjie
4
Men, Zhongxian
4
Paap, Richard
4
Ravazzolo, Francesco
4
Serletis, Apostolos
4
Wang, Chao
4
Wilfling, Bernd
4
Xu, Libo
4
Asai, Manabu
3
Assaf, A. Georges
3
Blazsek, Szabolcs
3
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Journal of econometrics
2
Econometric reviews
1
Emerging markets review
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Energy economics
1
International journal of forecasting
1
International review of economics & finance : IREF
1
Journal of international financial markets, institutions & money
1
The North American journal of economics and finance : a journal of financial economics studies
1
The econometrics journal
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ECONIS (ZBW)
14
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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
Autoregressive moving average infinite hidden Markov-switching models
Bauwens, Luc
;
Carpantier, Jean-François
;
Dufays, Arnaud
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
2
,
pp. 162-182
Persistent link: https://www.econbiz.de/10011704161
Saved in:
5
Forecasting South African macroeconomic variables with a Markov-switching small open-economy dynamic stochastic general equilibrium model
Balcilar, Mehmet
;
Gupta, Rangan
;
Kotzé, Kevin
- In:
Empirical economics : a journal of the Institute for …
53
(
2017
)
1
,
pp. 117-135
Persistent link: https://www.econbiz.de/10011935894
Saved in:
6
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:
7
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:
8
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:
9
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:
10
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
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