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~person:"Serletis, Apostolos"
~person:"Siu, Tak Kuen"
~subject:"Markov chain"
~type_genre:"Article in journal"
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Search: subject:"ARCH model"
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Markov chain
ARCH model
34
ARCH-Modell
34
Volatility
20
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Oil price
10
Ölpreis
10
Theorie
9
Theory
9
Estimation
7
Markov-Kette
7
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7
GARCH-in-Mean model
6
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6
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6
Inflation expectations
5
Inflationserwartung
5
Financial market
4
Finanzmarkt
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Option pricing theory
4
Optionspreistheorie
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4
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Asymmetric BEKK model
3
Capital income
3
Crude oil
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GARCH-in-mean model
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Industrialized countries
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Serletis, Apostolos
Siu, Tak Kuen
Lee, Hsiang-Tai
7
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
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4
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4
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3
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3
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3
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3
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3
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3
Hammoudeh, Shawkat
3
Ho, Kin-Yip
3
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3
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3
Maheu, John M.
3
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3
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3
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2
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2
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2
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2
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2
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2
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2
Feng, Lingbing
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Applied mathematical finance
2
Economics letters
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
International journal of theoretical and applied finance
1
The North American journal of economics and finance : a journal of financial economics studies
1
The energy journal
1
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ECONIS (ZBW)
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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
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:
3
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:
4
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:
5
Viterbi-based estimation for Markov switching GARCH model
Elliott, Robert J.
;
Lau, John W.
;
Miao, Hong
;
Siu, Tak Kuen
- In:
Applied mathematical finance
19
(
2012
)
3/4
,
pp. 219-231
Persistent link: https://www.econbiz.de/10009710984
Saved in:
6
Option valuation with a discrete-time double Markovian regime-switching model
Siu, Tak Kuen
;
Fung, Eric S.
;
Ng, Michael K.
- In:
Applied mathematical finance
18
(
2011
)
5/6
,
pp. 473-490
Persistent link: https://www.econbiz.de/10009422572
Saved in:
7
Option pricing for GARCH models with Markov switching
Elliott, Robert J.
;
Siu, Tak Kuen
;
Chan, Leunglung
- In:
International journal of theoretical and applied finance
9
(
2006
)
6
,
pp. 825-841
Persistent link: https://www.econbiz.de/10003380278
Saved in:
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