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isPartOf:"Applied economics"
~accessRights:"restricted"
~subject:"Markov-Kette"
~subject:"VAR-Modell"
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Markov-Kette
VAR-Modell
Markov chain
32
Estimation
19
Schätzung
19
Volatility
13
Volatilität
13
ARCH model
9
ARCH-Modell
9
Theorie
9
Theory
9
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Blazsek, Szabolcs
3
Ho, Han-Chiang
2
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2
Alam, Md Rafayet
1
Alba, Joseph Dennis
1
Aloui, Chaker
1
Ayala, Astrid
1
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1
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1
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1
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1
Cuñado Eizaguirre, Juncal
1
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1
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Enck, David
1
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1
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Applied economics
European journal of operational research : EJOR
133
Operations research letters
52
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
52
Mathematics of operations research
50
Operations research
43
Journal of econometrics
41
Discussion paper / Centre for Economic Policy Research
40
Energy economics
40
International journal of production research
36
Computational economics
33
Journal of economic dynamics & control
32
Quantitative finance
32
Economics letters
31
Computers & operations research : and their applications to problems of world concern ; an international journal
30
Insurance / Mathematics & economics
29
Finance research letters
28
Economic modelling
27
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
21
International review of economics & finance : IREF
20
Operational research : an international journal
20
Opsearch : journal of the Operational Research Society of India
20
The North American journal of economics and finance : a journal of financial economics studies
20
International journal of theoretical and applied finance
18
Management science : journal of the Institute for Operations Research and the Management Sciences
18
Journal of empirical finance
16
Research in international business and finance
16
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
14
IMA journal of management mathematics
14
Journal of forecasting
14
Journal of the Operational Research Society
14
Macroeconomic dynamics
14
Econometric reviews
13
International journal of production economics
13
Journal of banking & finance
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Review of quantitative finance and accounting
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ECONIS (ZBW)
32
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1
Flexible markov-switching models with evolving regime-specific parameters : an application to Brazilian business cycles
Gomes, Fábio A.
;
Melo, Lívia C. M.
;
Soave, Gian Paulo
- In:
Applied economics
56
(
2024
)
14
,
pp. 1705-1722
Persistent link: https://www.econbiz.de/10014473203
Saved in:
2
Modelling and forecasting COVID-19 stock returns using asymmetric GARCH-ICAPM with mixture and heavy-tailed distributions
Rewat Khanthaporn
;
Wichitaksorn, Nuttanan
- In:
Applied economics
55
(
2023
)
51
,
pp. 6042-6061
Persistent link: https://www.econbiz.de/10014335891
Saved in:
3
Intraday high-frequency pairs trading strategies for energy futures : evidence from China
Luo, Jing
;
Lin, Yucheng
;
Wang, Sijia
- In:
Applied economics
55
(
2023
)
56
,
pp. 6646-6660
Persistent link: https://www.econbiz.de/10014382721
Saved in:
4
On stylized facts of cryptocurrencies returns and their relationship with other assets, with a focus on the impact of COVID-19
Cremaschini, Alessandro
;
Punzón, Antonio
;
Martellucci, …
- In:
Applied economics
55
(
2023
)
32
,
pp. 3675-3688
Persistent link: https://www.econbiz.de/10014299197
Saved in:
5
Leader-follower dynamics in real historical time : a Markovian test of non-linear causality between sail and steam (co-)development
Damásio, Bruno
;
Mendonça, Sandro
- In:
Applied economics
55
(
2023
)
17
,
pp. 1908-1918
Persistent link: https://www.econbiz.de/10013555059
Saved in:
6
Impact of oil demand and supply shocks on food-grain prices : a Markov-switching approach
Forhad, Abdur Rahman
;
Alam, Md Rafayet
- In:
Applied economics
54
(
2022
)
10
,
pp. 1199-1211
Persistent link: https://www.econbiz.de/10012875135
Saved in:
7
ASEAN-5 forex rates and crude oil : Markov regime-switching analysis
Mukhriz Izraf Azman Aziz
;
Umar, Zaghum
;
Gubareva, Mariya
; …
- In:
Applied economics
54
(
2022
)
54
,
pp. 6234-6253
Persistent link: https://www.econbiz.de/10013411364
Saved in:
8
Impact of Brexit on G7 properties
Yoon, Jae Ho
;
Nawrot, Katarzyna Anna
- In:
Applied economics
54
(
2022
)
57
,
pp. 6551-6558
Persistent link: https://www.econbiz.de/10013494155
Saved in:
9
Modelling asset returns in the presence of price limits with Markov-switching mixture of truncated normal GARCH distribution : evidence from China
Wang, Donghua
;
Ding, Jin
;
Chu, Guoqing
;
Xu, Dinghai
; …
- In:
Applied economics
53
(
2021
)
7
,
pp. 781-804
Persistent link: https://www.econbiz.de/10012416088
Saved in:
10
Persistence, mean reversion, and non-linearities in inflation rates in the GCC countries : an eclectic approach
Osman, Mohamed
- In:
Applied economics
53
(
2021
)
8
,
pp. 913-923
Persistent link: https://www.econbiz.de/10012425441
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