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~isPartOf:"Journal of empirical finance"
~isPartOf:"Quantitative finance"
~language:"eng"
~subject:"Schätzung"
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Search: subject_exact:"Markov chain"
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Schätzung
Markov chain
48
Markov-Kette
48
Theorie
29
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29
Volatility
15
Volatilität
15
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14
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13
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Sornette, Didier
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Journal of empirical finance
Quantitative finance
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
22
Applied economics
19
Journal of econometrics
18
Energy economics
17
International review of financial analysis
14
Economic modelling
13
Journal of economic dynamics & control
12
Applied economics letters
10
Economics letters
10
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
10
Finance research letters
10
International journal of forecasting
10
Macroeconomic dynamics
10
International review of economics & finance : IREF
9
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
9
Discussion paper / Centre for Economic Policy Research
7
International journal of finance & economics : IJFE
7
Journal of applied econometrics
7
Journal of banking & finance
7
Research in international business and finance
7
The North American journal of economics and finance : a journal of financial economics studies
7
The European journal of finance
6
International journal of economics and finance
5
Review of quantitative finance and accounting
5
Econometric reviews
4
European journal of operational research : EJOR
4
International journal of emerging markets
4
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3
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
3
Empirical economics : a quarterly journal of the Institute for Advanced Studies
3
Global finance journal
3
Journal of financial econometrics
3
Journal of forecasting
3
Regional science & urban economics
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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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Central European journal of operations research : CEJOR ; official journal of the Austrian, Croatian, Czech, Hungarian, Slovakian and Slovenian OR Societies
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Economics / Journal articles : the open-access, open-assessment journal
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ECONIS (ZBW)
14
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1
Are cryptocurrencies a safe haven for stock investors? : a regime-switching approach
Li, Leon
;
Miu, Peter
- In:
Journal of empirical finance
70
(
2023
),
pp. 367-385
Persistent link: https://www.econbiz.de/10014423734
Saved in:
2
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
Saved in:
3
Unraveling S&P500 stock volatility and networks : an encoding-and-decoding approach
Wang, Xiaodong
;
Hsieh, Fushing
- In:
Quantitative finance
22
(
2022
)
5
,
pp. 997-1016
Persistent link: https://www.econbiz.de/10013367879
Saved in:
4
Risk parity portfolio optimization under a Markov regime-switching framework
Costa, Giorgio
;
Kwon, Roy H.
- In:
Quantitative finance
19
(
2019
)
3
,
pp. 453-471
Persistent link: https://www.econbiz.de/10012194664
Saved in:
5
On the predictability of stock market bubbles : evidence from LPPLS confidence multi-scale indicators
Demirer, Rıza
;
Demos, Guilherme
;
Gupta, Rangan
; …
- In:
Quantitative finance
19
(
2019
)
5
,
pp. 843-858
Persistent link: https://www.econbiz.de/10012194719
Saved in:
6
Linear models for the impact of order flow on prices, II.: The Mixture Transition Distribution model
Taranto, Damian Eduardo
;
Bormetti, Giacomo
;
Bouchaud, …
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 917-931
Persistent link: https://www.econbiz.de/10011910934
Saved in:
7
Volatility dynamics under an endogenous Markov-switching framework : a cross-market approach
Song, Wonho
;
Ryu, Doojin
;
Webb, Robert I.
- In:
Quantitative finance
18
(
2018
)
9
,
pp. 1559-1571
Persistent link: https://www.econbiz.de/10011913204
Saved in:
8
Decision trees unearth return sign predictability in the S&P 500
Fiévet, Lucas
;
Sornette, Didier
- In:
Quantitative finance
18
(
2018
)
11
,
pp. 1797-1814
Persistent link: https://www.econbiz.de/10012261997
Saved in:
9
Multiple risk measures for multivariate dynamic heavy-tailed models
Bernardi, Mauro
;
Maruotti, Antonello
;
Petrella, Lea
- In:
Journal of empirical finance
43
(
2017
),
pp. 1-32
Persistent link: https://www.econbiz.de/10011817885
Saved in:
10
Oil price volatility and macroeconomic fundamentals : a regime switching GARCH-MIDAS model
Pan, Zhiyuan
;
Wang, Yudong
;
Wu, Chongfeng
;
Yin, Libo
- In:
Journal of empirical finance
43
(
2017
),
pp. 130-142
Persistent link: https://www.econbiz.de/10011817944
Saved in:
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