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accessRights:"restricted"
~isPartOf:"International journal of finance & economics : IJFE"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~subject:"Multivariate Verteilung"
~subject:"Volatility"
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Multivariate Verteilung
Volatility
Markov chain
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Markov-Kette
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Estimation
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Schätzung
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Volatilität
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International journal of finance & economics : IJFE
The North American journal of economics and finance : a journal of financial economics studies
Energy economics
28
Finance research letters
15
Applied economics
14
Journal of econometrics
14
Economic modelling
12
International journal of forecasting
12
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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International review of economics & finance : IREF
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European journal of operational research : EJOR
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International journal of financial engineering
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
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International journal of emerging markets
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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Central European journal of operations research : CEJOR ; official journal of the Austrian, Croatian, Czech, Hungarian, Slovakian and Slovenian OR Societies
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ECONIS (ZBW)
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1
Bayesian non-linear quantile effects on modelling realized kernels
Dong, Manh Cuong
;
Chen, Cathy W. S.
;
Asai, Manabu
- In:
International journal of finance & economics : IJFE
28
(
2023
)
1
,
pp. 981-995
Persistent link: https://www.econbiz.de/10014253335
Saved in:
2
Dynamic asset allocation with multiple regime-switching markets
Shi, Jianmin
- In:
International journal of finance & economics : IJFE
28
(
2023
)
2
,
pp. 1741-1755
Persistent link: https://www.econbiz.de/10014253444
Saved in:
3
Effects of diamond price volatility on stock returns : evidence from a developing economy
Brou, Jean Marcelin Bosson
;
Mougoué, Mbodja
;
Kouassi, …
- In:
International journal of finance & economics : IJFE
27
(
2022
)
1
,
pp. 1025-1043
Persistent link: https://www.econbiz.de/10012814972
Saved in:
4
Volatility forecasting revisited using Markov-switching with time-varying probability transition
Wang, Jiqian
;
Ma, Feng
;
Liang, Chao
;
Chen, Zhonglu
- In:
International journal of finance & economics : IJFE
27
(
2022
)
1
,
pp. 1387-1400
Persistent link: https://www.econbiz.de/10012815077
Saved in:
5
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:
6
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:
7
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:
8
An investigation on mixed housing-cycle structures and asymmetric tail dependences
Chang, Kuang-Liang
- In:
The North American journal of economics and finance : a …
51
(
2020
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012658920
Saved in:
9
Contagion effects and risk transmission channels in the housing, stock, interest rate and currency markets : an Empirical Study in China and the U.S.
Wang, Peiwan
;
Zong, Lu
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-24
Persistent link: https://www.econbiz.de/10012665486
Saved in:
10
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
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