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~person:"Maheu, John M."
~person:"Serletis, Apostolos"
~person:"Wang, Jiqian"
~subject:"Markov chain"
~type_genre:"Article in journal"
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Search: subject:"ARCH model"
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Markov chain
ARCH model
49
ARCH-Modell
49
Volatility
38
Volatilität
38
Oil price
15
Theorie
15
Theory
15
Ölpreis
15
Börsenkurs
14
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GARCH-in-Mean model
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Commodity derivative
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GARCH
4
Markov regime switching
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Maheu, John M.
Serletis, Apostolos
Wang, Jiqian
Lee, Hsiang-Tai
8
Ma, Feng
7
Chang, Kuang-Liang
6
Chen, Cathy W. S.
6
Bauwens, Luc
5
Shi, Yanlin
5
Balcilar, Mehmet
4
Lu, Xinjie
4
Otranto, Edoardo
4
So, Mike Ka-pui
4
Xu, Libo
4
Blazsek, Szabolcs
3
Dimitrakopoulos, Stefanos
3
Dufays, Arnaud
3
Gerlach, Richard
3
Gupta, Rangan
3
Haas, Markus
3
Hammoudeh, Shawkat
3
Ho, Kin-Yip
3
Lee, Chien-chiang
3
Li, Ming-yuan Leon
3
Siu, Tak Kuen
3
Wilfling, Bernd
3
Ajmi, Ahdi Noomen
2
Alizadeh-Masoodian, Amir H.
2
Amisano, Gianni
2
Ardia, David
2
Asai, Manabu
2
BenSaïda, Ahmed
2
Bohl, Martin T.
2
Casarin, Roberto
2
Cavicchioli, Maddalena
2
Dias, José G.
2
Elliott, Robert J.
2
Feng, Lingbing
2
Gallo, Giampiero M.
2
Geweke, John
2
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International journal of forecasting
2
Economics letters
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
Energy economics
1
Journal of econometrics
1
Journal of empirical finance
1
Journal of forecasting
1
The North American journal of economics and finance : a journal of financial economics studies
1
The energy journal
1
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1
Inflation uncertainty
Serletis, Apostolos
;
Xu, Libo
- In:
Empirical economics : a quarterly journal of the …
66
(
2024
)
5
,
pp. 1903-1920
Persistent link: https://www.econbiz.de/10014520073
Saved in:
2
Stock market volatility predictability in a data-rich world : a new insight
Ma, Feng
;
Wang, Jiqian
;
Wahab, M. I. M.
;
Ma, Yuanhui
- In:
International journal of forecasting
39
(
2023
)
4
,
pp. 1804-1819
Persistent link: https://www.econbiz.de/10014465355
Saved in:
3
Forecasting oil futures realized range-based volatility with jumps, leverage effect, and regime switching : new evidence from MIDAS models
Lu, Xinjie
;
Ma, Feng
;
Wang, Jiqian
;
Liu, Jing
- In:
Journal of forecasting
41
(
2022
)
4
,
pp. 853-868
Persistent link: https://www.econbiz.de/10013287870
Saved in:
4
Oil shocks and stock market volatility : new evidence
Lu, Xinjie
;
Ma, Feng
;
Wang, Jiqian
;
Zhu, Bo
- In:
Energy economics
103
(
2021
),
pp. 1-11
Persistent link: https://www.econbiz.de/10013364063
Saved in:
5
Oil price shocks and economic growth : the volatility link
Maheu, John M.
;
Song, Yong
;
Yang, Qiao
- In:
International journal of forecasting
36
(
2020
)
2
,
pp. 570-587
Persistent link: https://www.econbiz.de/10012415259
Saved in:
6
Interfuel substitution : evidence from the Markov switching minflex Laurent demand system with BEKK errors
Serletis, Apostolos
;
Xu, Libo
- In:
The energy journal
40
(
2019
)
6
,
pp. 111-128
Persistent link: https://www.econbiz.de/10012181694
Saved in:
7
The demand for banking and shadow banking services
Serletis, Apostolos
;
Xu, Libo
- In:
The North American journal of economics and finance : a …
47
(
2019
),
pp. 132-146
Persistent link: https://www.econbiz.de/10012117824
Saved in:
8
Monetary and fiscal policy switching with time-varying volatilities
Xu, Libo
;
Serletis, Apostolos
- In:
Economics letters
145
(
2016
),
pp. 202-205
Persistent link: https://www.econbiz.de/10011618412
Saved in:
9
Modeling covariance breakdowns in multivariate GARCH
Jin, Xin
;
Maheu, John M.
- In:
Journal of econometrics
194
(
2016
)
1
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011705024
Saved in:
10
Volatility dynamics under duration-dependent mixing
Maheu, John M.
;
McCurdy, Thomas H.
- In:
Journal of empirical finance
7
(
2000
)
3/4
,
pp. 345-372
Persistent link: https://www.econbiz.de/10001558275
Saved in:
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