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~person:"Bauwens, Luc"
~source:"econis"
~subject:"ARCH model"
~subject:"Aktienmarkt"
~subject:"Bayes-Statistik"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Collection of articles written by one author"
~type_genre:"Sammlung"
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ARCH model
Aktienmarkt
Bayes-Statistik
Markov chain
7
Markov-Kette
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ARCH-Modell
5
Theorie
4
Theory
4
Bayesian inference
3
Volatility
3
Volatilität
3
Capital income
2
Correlation
2
Dynamic conditional correlations
2
Estimation theory
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Marginal likelihood
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Bauwens, Luc
Tsionas, Efthymios G.
17
Gupta, Rangan
11
Lee, Hsiang-Tai
9
Li, Yong
8
Casarin, Roberto
7
Chen, Cathy W. S.
7
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7
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6
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6
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6
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6
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6
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6
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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
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4
Kang, Kyu Ho
4
Kolkiewicz, Adam W.
4
Koop, Gary
4
Lesage, James P.
4
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4
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4
Paap, Richard
4
Ravazzolo, Francesco
4
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4
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4
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Journal of econometrics
2
The econometrics journal
1
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ECONIS (ZBW)
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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:
2
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:
3
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:
4
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:
5
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:
6
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
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