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~person:"Bauwens, Luc"
~person:"Chen, Cathy W. S."
~person:"Lee, Hsiang-Tai"
~source:"econis"
~subject:"ARCH model"
~subject:"Aktienmarkt"
~subject:"Bayes-Statistik"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Sammlung"
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Search: subject_exact:"Markov chain"
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ARCH model
Aktienmarkt
Bayes-Statistik
Markov chain
25
Markov-Kette
25
ARCH-Modell
19
Theorie
16
Theory
16
Volatility
13
Volatilität
13
Capital income
9
Kapitaleinkommen
9
Bayesian inference
8
Estimation
8
Monte Carlo simulation
8
Monte-Carlo-Simulation
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Schätzung
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Forecasting model
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Hedging
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GARCH
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Börsenkurs
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Portfolio selection
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Portfolio-Management
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Risikomaß
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Commodity derivative
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Derivat
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Derivative
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Futures
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Markov chain Monte Carlo method
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Regime switching
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Aktienindex
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Dynamic conditional correlations
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22
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Bauwens, Luc
Chen, Cathy W. S.
Lee, Hsiang-Tai
Tsionas, Efthymios G.
17
Gupta, Rangan
11
Li, Yong
8
Casarin, Roberto
7
Ma, Feng
7
Balcilar, Mehmet
6
Chang, Kuang-Liang
6
Gerlach, Richard
6
Maheu, John M.
6
Shi, Yanlin
6
So, Mike Ka-pui
6
Yu, Jun
6
Billio, Monica
5
Dijk, Dick van
5
Dimitrakopoulos, Stefanos
5
Dufays, Arnaud
5
Kim, Chang-jin
5
Nakatsuma, Teruo
5
Otranto, Edoardo
5
Wirjanto, Tony S.
5
Chkili, Walid
4
Dijk, Herman K. van
4
Hammoudeh, Shawkat
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
Song, Yong
4
Wang, Chao
4
Wilfling, Bernd
4
Xu, Libo
4
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
International review of financial analysis
2
Journal of econometrics
2
Journal of forecasting
2
The journal of futures markets
2
Computational economics
1
Finance research letters
1
Global business and finance review
1
Global finance journal
1
International Journal of Financial Studies : open access journal
1
International journal of finance & economics : IJFE
1
International journal of forecasting
1
Journal of empirical finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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)
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11
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:
12
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:
13
Pair trading based on quantile forecasting of smooth transition GARCH models
Chen, Cathy W. S.
;
Wang, Zona
;
Songsak Sriboonchitta
; …
- In:
The North American journal of economics and finance : a …
39
(
2017
),
pp. 38-55
Persistent link: https://www.econbiz.de/10011878579
Saved in:
14
Bayesian expected shortfall forecasting incorporating the intraday range
Gerlach, Richard
;
Chen, Cathy W. S.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
1
,
pp. 128-158
Persistent link: https://www.econbiz.de/10011588546
Saved in:
15
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:
16
Does the stock market drive herd behavior in commodity futures markets?
Demirer, Rıza
;
Lee, Hsiang-Tai
;
Lien, Da-hsiang Donald
- In:
International review of financial analysis
39
(
2015
),
pp. 32-44
Persistent link: https://www.econbiz.de/10011573052
Saved in:
17
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:
18
Bayesian unit root test in double threshold heteroskedastic models
Chen, Cathy W. S.
;
Chen, Shu-yu
;
Lee, Sangyeol
- In:
Computational economics
42
(
2013
)
4
,
pp. 471-490
Persistent link: https://www.econbiz.de/10010249863
Saved in:
19
Theory and inference for a Markov switching GARCH model
Bauwens, Luc
;
Preminger, Arie
;
Rombouts, Jeroen V. K.
- In:
The econometrics journal
13
(
2010
)
2
,
pp. 218-244
Persistent link: https://www.econbiz.de/10003978517
Saved in:
20
Optimal futures hedging under jump switching dynamics
Lee, Hsiang-Tai
- In:
Journal of empirical finance
16
(
2009
)
2
,
pp. 446-456
Persistent link: https://www.econbiz.de/10003856819
Saved in:
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