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accessRights:"restricted"
~isPartOf:"Quantitative finance"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~subject:"Volatility"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Markov chain"
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Volatility
Zeitreihenanalyse
Markov chain
52
Markov-Kette
52
Theorie
20
Theory
20
Volatilität
18
Estimation
14
Schätzung
14
Stochastic process
14
Stochastischer Prozess
14
Option pricing theory
13
Optionspreistheorie
13
Portfolio selection
12
Portfolio-Management
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ARCH model
10
ARCH-Modell
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Forecasting model
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Prognoseverfahren
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Capital income
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Kapitaleinkommen
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Aktienmarkt
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Börsenkurs
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Multivariate Verteilung
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Multivariate distribution
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Markov chain Monte Carlo
4
Markov regime switching
4
Markov switching
4
Option pricing
4
Spillover effect
4
Spillover-Effekt
4
Stochastic volatility
4
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Arellano, Miguel Ataurima
1
Asmussen, Søren
1
Bian, Zhicun
1
Bladt, Mogens
1
Chang, Kuang-Liang
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Chen, Miao-Ling
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Chen, Naiwei
1
Cui, Zhenyu
1
Cuñado Eizaguirre, Juncal
1
Fan, Jiacheng
1
Felpel, Mike
1
Gupta, Rangan
1
Guyon, Julien
1
Göncü, Ahmet
1
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Hong, Hui
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1
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1
Ji, Qiang
1
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Ng, Kok-Haur
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1
Otranto, Edoardo
1
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Quantitative finance
The North American journal of economics and finance : a journal of financial economics studies
Energy economics
30
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
27
International journal of forecasting
21
Applied economics
17
Journal of econometrics
17
Finance research letters
16
Economic modelling
14
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Computational economics
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Economics letters
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International review of economics & finance : IREF
11
International review of financial analysis
9
Journal of forecasting
9
Econometric reviews
8
Journal of banking & finance
8
Journal of economic dynamics & control
8
Journal of empirical finance
8
Applied economics letters
6
Macroeconomic dynamics
6
International journal of finance & economics : IJFE
5
International journal of financial engineering
5
International journal of theoretical and applied finance
5
Research in international business and finance
5
Review of quantitative finance and accounting
5
The European journal of finance
5
Discussion paper / Centre for Economic Policy Research
4
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
4
European journal of operational research : EJOR
4
International journal of emerging markets
4
Annals of finance
3
Applied mathematical finance
3
Emerging markets, finance and trade : EMFT
3
Empirical economics : a quarterly journal of the Institute for Advanced Studies
3
Global finance journal
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Insurance / Mathematics & economics
3
International journal of theoretical and applied finance : IJTAF
3
Journal of applied econometrics
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Journal of financial econometrics
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ECONIS (ZBW)
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1
Volatility is (mostly) path-dependent
Guyon, Julien
;
Lekeufack, Jordan
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1221-1258
Persistent link: https://www.econbiz.de/10014339908
Saved in:
2
Pricing commodity index options
Manzano-Herrero, Alberto Pedro
;
Nastasi, Emanuele
; …
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 297-308
Persistent link: https://www.econbiz.de/10014232638
Saved in:
3
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
MacKay, Anne
;
Vachon, Marie-Claude
;
Cui, Zhenyu
- In:
Quantitative finance
23
(
2023
)
7/8
,
pp. 1055-1078
Persistent link: https://www.econbiz.de/10014321664
Saved in:
4
Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model
Khashanah, Khaldoun
;
Shao, Chenjie
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 241-253
Persistent link: https://www.econbiz.de/10013167735
Saved in:
5
Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
Asmussen, Søren
;
Bladt, Mogens
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 675-689
Persistent link: https://www.econbiz.de/10013367850
Saved in:
6
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:
7
Effective Markovian projection : application to CMS spread options and mid-curve swaptions
Felpel, Mike
;
Kienitz, Jörg
;
McWalter, Thomas A.
- In:
Quantitative finance
22
(
2022
)
6
,
pp. 1169-1192
Persistent link: https://www.econbiz.de/10013367891
Saved in:
8
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:
9
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:
10
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
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