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accessRights:"restricted"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~subject:"ARCH-Modell"
~subject:"Multivariate Verteilung"
~subject:"Volatility"
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Search: subject_exact:"Markov chain"
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ARCH-Modell
Multivariate Verteilung
Volatility
Markov chain
20
Markov-Kette
20
Volatilität
10
ARCH model
7
Estimation
7
Schätzung
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Aktienmarkt
5
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Chang, Kuang-Liang
2
Arellano, Miguel Ataurima
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Bian, Zhicun
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Chen, Cathy W. S.
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Chen, Miao-Ling
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Chen, Naiwei
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Cuñado Eizaguirre, Juncal
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Fan, Jiacheng
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Göncü, Ahmet
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Wei, An-Pin
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The North American journal of economics and finance : a journal of financial economics studies
Energy economics
28
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
18
Applied economics
17
Finance research letters
15
Journal of econometrics
14
Economic modelling
13
International journal of forecasting
13
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
10
Quantitative finance
10
Computational economics
9
Journal of empirical finance
9
Economics letters
8
International review of economics & finance : IREF
8
International review of financial analysis
8
Journal of economic dynamics & control
7
Research in international business and finance
7
Econometric reviews
6
European journal of operational research : EJOR
6
International journal of theoretical and applied finance
6
Journal of banking & finance
6
Journal of forecasting
6
The European journal of finance
6
Applied economics letters
5
International journal of financial engineering
5
The journal of futures markets
5
Applied mathematical finance
4
Insurance / Mathematics & economics
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International journal of finance & economics : IJFE
4
Macroeconomic dynamics
4
Review of quantitative finance and accounting
4
Annals of finance
3
Empirical economics : a quarterly journal of the Institute for Advanced Studies
3
International journal of emerging markets
3
Journal of economic studies
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Journal of international money and finance
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Journal of mathematical finance
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The journal of computational finance
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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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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
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:
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
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:
6
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:
7
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:
8
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:
9
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:
10
Pair trading based on quantile forecasting of smooth transition GARCH models
Chen, Cathy W. S.
;
Wang, Zona
;
Songsak Sriboonchitta
; …
- In:
The North American journal of economics and finance : a …
39
(
2017
),
pp. 38-55
Persistent link: https://www.econbiz.de/10011878579
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