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~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~subject:"Aktienindex"
~subject:"Markov-Kette"
~subject:"Volatility"
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Aktienindex
Markov-Kette
Volatility
Markov chain
20
Volatilität
10
ARCH model
7
ARCH-Modell
7
Estimation
7
Schätzung
7
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Arellano, Miguel Ataurima
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Bian, Zhicun
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Bucci, Andrea
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The North American journal of economics and finance : a journal of financial economics studies
European journal of operational research : EJOR
137
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
53
Operations research letters
52
Mathematics of operations research
51
Operations research
47
Journal of econometrics
41
Discussion paper / Centre for Economic Policy Research
40
Energy economics
40
International journal of production research
40
Journal of economic dynamics & control
34
Computational economics
33
Quantitative finance
33
Applied economics
32
Economics letters
31
Finance research letters
31
Computers & operations research : and their applications to problems of world concern ; an international journal
30
Insurance / Mathematics & economics
29
Economic modelling
28
International journal of forecasting
26
Dynamic games and applications : DGA
24
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
24
International review of financial analysis
23
Applied economics letters
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International review of economics & finance : IREF
20
Operational research : an international journal
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Opsearch : journal of the Operational Research Society of India
20
Management science : journal of the Institute for Operations Research and the Management Sciences
19
International journal of theoretical and applied finance
18
Journal of empirical finance
16
Research in international business and finance
16
IMA journal of management mathematics
15
Journal of forecasting
15
Journal of the Operational Research Society
15
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
14
International journal of production economics
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Macroeconomic dynamics
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SpringerLink / Bücher
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Econometric reviews
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ECONIS (ZBW)
20
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1
Building optimal regime-switching portfolios
Ciciretti, Vito
;
Bucci, Andrea
- In:
The North American journal of economics and finance : a …
64
(
2023
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014246736
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
Regime switches and commonalities of the cryptocurrencies asset class
Figà-Talamanca, Gianna
;
Focardi, Sergio M.
;
Patacca, Marco
- In:
The North American journal of economics and finance : a …
57
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012822192
Saved in:
5
The nonlinear effect of oil price shocks on financial stress : evidence from China
Liu, Renren
;
Chen, Jianzhong
;
Wen, Fenghua
- In:
The North American journal of economics and finance : a …
55
(
2021
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012667999
Saved in:
6
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:
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
The effect of domestic and foreign risks on an emerging stock market : a time series analysis
Kirikkaleli, Dervis
- In:
The North American journal of economics and finance : a …
51
(
2020
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012658975
Saved in:
10
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
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