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accessRights:"restricted"
~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
52
Markov-Kette
52
Theorie
23
Theory
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Estimation
20
Schätzung
19
Volatilität
17
Stochastic process
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Markov-switching
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Arellano, Miguel Ataurima
1
Bian, Zhicun
1
Bo, Lijun
1
Chakrabarti, Anindya S.
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Chauvet, Marcelle
1
Chen, Miao-Ling
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Cuñado Eizaguirre, Juncal
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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
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International review of economics & finance : IREF
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International review of financial analysis
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Quantitative finance
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Economics letters
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Journal of empirical finance
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Journal of banking & finance
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Econometric reviews
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International journal of financial engineering
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International journal of theoretical and applied finance
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Journal of forecasting
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The European journal of finance
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Applied economics letters
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International journal of finance & economics : IJFE
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Research in international business and finance
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Review of quantitative finance and accounting
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Annals of finance
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Applied mathematical finance
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
3
European journal of operational research : EJOR
3
Insurance / Mathematics & economics
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International journal of emerging markets
3
Journal of international money and finance
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Journal of mathematical finance
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Macroeconomic dynamics
3
The journal of futures 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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Bulletin of economic research
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Discussion paper / Centre for Economic Policy Research
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Emerging markets, finance and trade : EMFT
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ECONIS (ZBW)
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1
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:
2
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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:
9
Dispersion in macroeconomic volatility between the core and periphery of the international trade network
Chakrabarti, Anindya S.
- In:
Journal of economic dynamics & control
88
(
2018
),
pp. 31-50
Persistent link: https://www.econbiz.de/10011973917
Saved in:
10
Optimal investment of variance-swaps in jump-diffusion market with regime-switching
Bo, Lijun
;
Tang, Dan
;
Wang, Yongjin
- In:
Journal of economic dynamics & control
83
(
2017
),
pp. 175-197
Persistent link: https://www.econbiz.de/10011915585
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