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accessRights:"restricted"
~isPartOf:"Annals of finance"
~isPartOf:"Journal of economic dynamics & control"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~subject:"Volatility"
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Search: subject_exact:"Markov chain"
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Volatility
Markov chain
61
Markov-Kette
61
Theorie
29
Theory
29
Estimation
21
Schätzung
20
Volatilität
20
Stochastic process
12
Stochastischer Prozess
12
ARCH model
8
ARCH-Modell
8
Börsenkurs
8
Capital income
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Geldpolitik
8
Kapitaleinkommen
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Monetary policy
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Option pricing theory
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Optionspreistheorie
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Share price
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Aktienmarkt
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Forecasting model
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Portfolio selection
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Portfolio-Management
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Prognoseverfahren
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Stock market
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Bayes-Statistik
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Bayesian inference
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Monte Carlo simulation
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Monte-Carlo-Simulation
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Schock
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Shock
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Time series analysis
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Zeitreihenanalyse
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Markov-switching
5
Regime-switching
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Emerging economies
4
Estimation theory
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Markov chains
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Markov switching
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Arellano, Miguel Ataurima
1
Bian, Zhicun
1
Bo, Lijun
1
Chakrabarti, Anindya S.
1
Chauvet, Marcelle
1
Chen, Miao-Ling
1
Chen, Naiwei
1
Chong, Terence Tai-Leung
1
Cuñado Eizaguirre, Juncal
1
D'Amico, Guglielmo
1
Fan, Jiacheng
1
Gupta, Rangan
1
Göncü, Ahmet
1
Hainaut, Donatien
1
Hammoudeh, Shawkat
1
He, Xin-Jiang
1
Hong, Hui
1
Hsu, Ching-Chi
1
Ji, Qiang
1
Jiang, Yong
1
Karahan, Mehmet Oğuz
1
Khalifa, Ahmed A. A.
1
Kim, Bara
1
Kim, Jeongsim
1
Kim, Jerim
1
Kirkby, J. Lars
1
Koh, You-Beng
1
Kuzubaş, Tolga Umut
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Li, Yifan
1
Lika, Ada
1
Lin, Ling
1
Liu, Bing-Yue
1
Ma, Jingtang
1
Mengling Li
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Moraux, Franck
1
Ng, Kok-Haur
1
Ng, Kooi-Huat
1
Nguyen, Duy
1
Nolte, Ingmar
1
Nolte, Sandra
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Annals of finance
Journal of economic dynamics & control
The North American journal of economics and finance : a journal of financial economics studies
Energy economics
28
Finance research letters
15
Applied economics
13
Journal of econometrics
13
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
12
Economic modelling
11
International journal of forecasting
11
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
9
Computational economics
8
International review of economics & finance : IREF
8
International review of financial analysis
8
Quantitative finance
8
Economics letters
7
Journal of empirical finance
7
Journal of banking & finance
6
Econometric reviews
5
International journal of financial engineering
5
International journal of theoretical and applied finance
5
Journal of forecasting
5
The European journal of finance
5
Applied economics letters
4
International journal of finance & economics : IJFE
4
Research in international business and finance
4
Review of quantitative finance and accounting
4
The journal of futures markets
4
Applied mathematical finance
3
Empirical economics : a quarterly journal of the Institute for Advanced Studies
3
European journal of operational research : EJOR
3
Insurance / Mathematics & economics
3
International journal of emerging markets
3
Journal of international money and finance
3
Journal of mathematical finance
3
Macroeconomic dynamics
3
The journal of computational finance
3
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
3
Bulletin of economic research
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Discussion paper / Centre for Economic Policy Research
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ECONIS (ZBW)
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1
Dynamic volatility modelling of Bitcoin using time-varying transition probability Markov-switching GARCH model
Tan, Chia-Yen
;
Koh, You-Beng
;
Ng, Kok-Haur
;
Ng, Kooi-Huat
- In:
The North American journal of economics and finance : a …
56
(
2021
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012821468
Saved in:
2
Risk spillovers and hedge strategies between global crude oil markets and stock markets : do regime switching processes combining long memory and asymmetry matter?
Lin, Ling
;
Zhou, Zhongbao
;
Jiang, Yong
;
Ou, Yangchen
- In:
The North American journal of economics and finance : a …
57
(
2021
),
pp. 1-25
Persistent link: https://www.econbiz.de/10012822126
Saved in:
3
High-frequency volatility modeling : A Markov-Switching Autoregressive Conditional Intensity model
Li, Yifan
;
Nolte, Ingmar
;
Nolte, Sandra
- In:
Journal of economic dynamics & control
124
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012666459
Saved in:
4
Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models
Arellano, Miguel Ataurima
;
Perez Rodriguez, Gabriel
- In:
The North American journal of economics and finance : a …
52
(
2020
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012654810
Saved in:
5
Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching : evidence from over a century of data
Ji, Qiang
;
Liu, Bing-Yue
;
Cuñado Eizaguirre, Juncal
; …
- In:
The North American journal of economics and finance : a …
51
(
2020
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012658792
Saved in:
6
Funding liquidity risk and the low-volatility anomaly : evidence from the Taiwan stock market
Hsu, Ching-Chi
;
Wei, An-Pin
;
Chen, Miao-Ling
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-23
Persistent link: https://www.econbiz.de/10012665989
Saved in:
7
Leverage effect on stochastic volatility for option pricing in Hong Kong : a simulation and empirical study
Hong, Hui
;
Bian, Zhicun
;
Chen, Naiwei
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012666125
Saved in:
8
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
Kirkby, J. Lars
;
Nguyen, Duy
- In:
Annals of finance
16
(
2020
)
3
,
pp. 307-351
Persistent link: https://www.econbiz.de/10012496337
Saved in:
9
Change point dynamics for financial data : an indexed Markov chain approach
D'Amico, Guglielmo
;
Lika, Ada
;
Petroni, Filippo
- In:
Annals of finance
15
(
2019
)
2
,
pp. 247-266
Persistent link: https://www.econbiz.de/10012058237
Saved in:
10
A switching self-exciting jump diffusion process for stock prices
Hainaut, Donatien
;
Moraux, Franck
- In:
Annals of finance
15
(
2019
)
2
,
pp. 267-306
Persistent link: https://www.econbiz.de/10012058243
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