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~person:"Balcilar, Mehmet"
~person:"Bauwens, Luc"
~person:"Otranto, Edoardo"
~subject:"ARCH model"
~type_genre:"Article in journal"
~type_genre:"Working Paper"
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Search: subject_exact:"Markov process"
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ARCH model
Markov chain
41
Markov-Kette
41
ARCH-Modell
20
Estimation
16
Schätzung
16
Theorie
15
Theory
15
Volatility
13
Volatilität
13
Bayes-Statistik
11
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VAR-Modell
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Balcilar, Mehmet
Bauwens, Luc
Otranto, Edoardo
Meitz, Mika
10
Saikkonen, Pentti
10
Lee, Hsiang-Tai
8
Lütkepohl, Helmut
8
Dufays, Arnaud
7
Ma, Feng
7
Rombouts, Jeroen V. K.
7
Chang, Kuang-Liang
6
Chen, Cathy W. S.
6
Amisano, Gianni
5
Geweke, John
5
Gupta, Rangan
5
Shi, Yanlin
5
Asai, Manabu
4
Casarin, Roberto
4
Frömmel, Michael
4
Haas, Markus
4
Lu, Xinjie
4
Osuntuyi, Anthony
4
Preminger, Arie
4
Serletis, Apostolos
4
So, Mike Ka-pui
4
Velinov, Anton
4
Xu, Libo
4
Ardia, David
3
Billio, Monica
3
Blazsek, Szabolcs
3
Bohl, Martin T.
3
Caporale, Guglielmo Maria
3
Dimitrakopoulos, Stefanos
3
Gerlach, Richard
3
Hammoudeh, Shawkat
3
Ho, Kin-Yip
3
Krämer, Walter
3
Lee, Chien-chiang
3
Li, Ming-yuan Leon
3
Maheu, John M.
3
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CORE discussion papers : DP
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of econometrics
2
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1
CREATES research paper
1
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1
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1
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Emerging markets review
1
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International journal of forecasting
1
International review of economics & finance : IREF
1
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The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
20
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1
Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc
;
Otranto, Edoardo
-
2018
Persistent link: https://www.econbiz.de/10011992647
Saved in:
2
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:
3
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:
4
A new approach to volatility modeling : the high-dimensional Markov Model
Augustyniak, Maciej
;
Bauwens, Luc
;
Dufays, Arnaud
-
2016
Persistent link: https://www.econbiz.de/10011894434
Saved in:
5
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:
6
Marginal likelihood for Markov-switching and change-point GARCH models
Bauwens, Luc
;
Dufays, Arnaud
;
Rombouts, Jeroen V. K.
-
2011
Persistent link: https://www.econbiz.de/10009382620
Saved in:
7
Marginal likelihood for Markov-switching and change-point GARCH models
Bauwens, Luc
;
Dufays, Arnaud
;
Rombouts, Jeroen V. K.
-
2011
Persistent link: https://www.econbiz.de/10009504878
Saved in:
8
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:
9
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:
10
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:
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