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accessRights:"restricted"
person:"Constant, Amelie"
~person:"Casarin, Roberto"
~person:"Omori, Yasuhiro"
~person:"Wang, Chao"
~subject:"Markov-Kette"
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Markov-Kette
Estimation
22
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Markov chain
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8
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Constant, Amelie
Casarin, Roberto
Omori, Yasuhiro
Wang, Chao
Serletis, Apostolos
8
Xu, Libo
7
Gupta, Rangan
6
Blazsek, Szabolcs
5
Dimitrakopoulos, Stefanos
5
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5
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4
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Chang, Kuang-Liang
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Chauvet, Marcelle
4
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4
Kang, Kyu Ho
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Lee, Hsiang-Tai
4
Marcellino, Massimiliano
4
Apergēs, Nikolaos
3
Bekiros, Stelios
3
Chevallier, Julien
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Foroni, Claudia
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Gerlach, Richard
3
Gil-Alaña, Luis A.
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Guidolin, Massimo
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Hou, Chenghan
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Ji, Qiang
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Lee, Chien-chiang
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Leiva-Leon, Danilo
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Lesage, James P.
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Li, Leon
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Lin, Shih-kuei
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Nicolau, João
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Pedio, Manuela
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Sehgal, Sanjay
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Shi, Yanlin
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Soques, Daniel
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Sornette, Didier
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ECONIS (ZBW)
13
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1
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
Wang, Chao
;
Gerlach, Richard
;
Chen, Qian
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 309-334
Persistent link: https://www.econbiz.de/10014232647
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2
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta
;
Omori, Yasuhiro
- In:
Econometric reviews
42
(
2023
)
6
,
pp. 513-539
Persistent link: https://www.econbiz.de/10014305574
Saved in:
3
Bayesian semi-parametric realized conditional autoregressive expectile models for tail risk forecasting
Gerlach, Richard
;
Wang, Chao
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 105-138
Persistent link: https://www.econbiz.de/10012878188
Saved in:
4
Markov switching panel with endogenous synchronization effects
Agudze, Komla M.
;
Billio, Monica
;
Casarin, Roberto
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 281-298
Persistent link: https://www.econbiz.de/10013463814
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5
Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting, incorporating realized measures
Gerlach, Richard
;
Wang, Chao
- In:
International journal of forecasting
36
(
2020
)
2
,
pp. 489-506
Persistent link: https://www.econbiz.de/10012415185
Saved in:
6
Markov switching GARCH models for Bayesian hedging on energy futures markets
Billio, Monica
;
Casarin, Roberto
;
Osuntuyi, Anthony
- In:
Energy economics
70
(
2018
),
pp. 545-562
Persistent link: https://www.econbiz.de/10011942887
Saved in:
7
A Bayesian Markov-switching correlation model for contagion analysis on exchange rate markets
Casarin, Roberto
;
Sartore, Domenico
;
Tronzano, Marco
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
1
,
pp. 101-114
Persistent link: https://www.econbiz.de/10011894407
Saved in:
8
Uncertainty through the lenses of a mixed-frequency Bayesian panel Markov switching model
Casarin, Roberto
;
Foroni, Claudia
;
Marcellino, Massimiliano
-
2017
Persistent link: https://www.econbiz.de/10011741654
Saved in:
9
Exact estimation of demand functions under block-rate pricing
Miyawaki, Koji
;
Omori, Yasuhiro
;
Hibiki, Akira
- In:
Econometric reviews
35
(
2016
)
1/4
,
pp. 311-343
Persistent link: https://www.econbiz.de/10011549934
Saved in:
10
Bayesian graphical models for structural vector autoregressive processes
Ahelegbey, Daniel Felix
;
Billio, Monica
;
Casarin, Roberto
- In:
Journal of applied econometrics
31
(
2016
)
2
,
pp. 357-386
Persistent link: https://www.econbiz.de/10011644349
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