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subject:"Capital income"
~isPartOf:"Economic modelling"
~subject:"Portfolio-Management"
~subject:"United States"
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Search: subject_exact:"Markovsche Kette"
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Capital income
Portfolio-Management
United States
Markov chain
79
Markov-Kette
79
Estimation
30
Schätzung
30
Theorie
30
Theory
30
Volatility
21
Volatilität
21
Time series analysis
15
Zeitreihenanalyse
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Business cycle
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Kapitaleinkommen
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Stochastic process
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Stochastischer Prozess
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ARCH-Modell
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Markov switching
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VAR model
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VAR-Modell
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Welt
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Chen, Shyh-Wei
2
Shen, Chung-hua
2
Siu, Tak Kuen
2
Bai, Manying
1
Bec, Frédérique
1
Bejaoui, Azza
1
Beyaert, Arielle
1
Bouabdallah, Othman
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Bucci, Andrea
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Chang, Kuang-Liang
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Changqing, Luo
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Chi, Xie
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Ching, Wai Ki
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Ciciretti, Vito
1
Cong, Yu
1
De Silva, Ashton
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Fang, Xianming
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Ferrara, Laurent
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García-Solances, José
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Giner, Javier
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Han, Yingwei
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Hsu, Yuan-Lin
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Huang, Tzu-Hui
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Hung, Ming-Chin
1
Hyndman, Rob J.
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Jiang, Yu
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Levant, Jared
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Lin, Shih-kuei
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Pardo, Sophie
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Pérez-Castejón, Juan J.
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Racicot, François-Éric
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Rautureau, Nicolas
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Rey, Clément
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Rey, Serge
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Economic modelling
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
20
Journal of empirical finance
19
Applied economics
17
International review of financial analysis
17
European journal of operational research : EJOR
16
Journal of econometrics
15
Finance research letters
13
Working paper
13
Economics letters
12
Journal of economic dynamics & control
12
Insurance / Mathematics & economics
11
International journal of forecasting
11
International journal of theoretical and applied finance
11
Journal of applied econometrics
11
Journal of banking & finance
11
Quantitative finance
11
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
10
Energy economics
10
Finance and stochastics
9
Review of quantitative finance and accounting
9
Risks : open access journal
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Applied economics letters
8
Discussion paper / Centre for Economic Policy Research
8
Discussion paper / Tinbergen Institute
8
Journal of forensic economics
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Journal of risk and financial management : JRFM
8
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
8
The North American journal of economics and finance : a journal of financial economics studies
8
Working paper / National Bureau of Economic Research, Inc.
8
Journal of legal economics
7
The European journal of finance
7
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
7
Applied financial economics
6
International journal of finance & economics : IJFE
6
International review of economics & finance : IREF
6
Journal of forecasting
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Journal of money, credit and banking : JMCB
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Research in international business and finance
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EUI working paper / ECO
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ECONIS (ZBW)
22
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1
A regime-switching model of stock returns with momentum and mean reversion
Giner, Javier
;
Zakamulin, Valeriy
- In:
Economic modelling
122
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014388630
Saved in:
2
Market regime detection via realized covariances
Bucci, Andrea
;
Ciciretti, Vito
- In:
Economic modelling
111
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013349063
Saved in:
3
Robust portfolio selection with regime switching and asymmetric dependence
Su, Xiaoshan
;
Bai, Manying
;
Han, Yingwei
- In:
Economic modelling
99
(
2021
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012795788
Saved in:
4
Hedge fund return higher moments over the business cycle
Racicot, François-Éric
;
Théoret, Raymond
- In:
Economic modelling
78
(
2019
),
pp. 73-97
Persistent link: https://www.econbiz.de/10012198849
Saved in:
5
Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model
Zhu, Dong-Mei
;
Lu, Jiejun
;
Ching, Wai Ki
;
Siu, Tak Kuen
- In:
Economic modelling
66
(
2017
),
pp. 223-232
Persistent link: https://www.econbiz.de/10011813727
Saved in:
6
A dynamic Nelson-Siegel yield curve model with Markov switching
Levant, Jared
;
Ma, Jun
- In:
Economic modelling
67
(
2017
),
pp. 73-87
Persistent link: https://www.econbiz.de/10011813779
Saved in:
7
Empirical analysis of stock indices under a regime-switching model with dependent jump size risks
Hsu, Yuan-Lin
;
Lin, Shih-kuei
;
Hung, Ming-Chin
;
Huang, …
- In:
Economic modelling
54
(
2016
),
pp. 260-275
Persistent link: https://www.econbiz.de/10011642172
Saved in:
8
Revisiting the bull and bear markets notions in the Tunisian stock market : new evidence from multi-state duration-dependence Markov-switching models
Bejaoui, Azza
;
Karaa, Adel
- In:
Economic modelling
59
(
2016
),
pp. 529-545
Persistent link: https://www.econbiz.de/10011647922
Saved in:
9
Measuring financial market risk contagion using dynamic MRS-Copula models : the case of Chinese and other international stock markets
Changqing, Luo
;
Chi, Xie
;
Cong, Yu
;
Yan, Xu
- In:
Economic modelling
51
(
2015
),
pp. 657-671
Persistent link: https://www.econbiz.de/10011476241
Saved in:
10
Comparing the shape of recoveries : France, the UK and the US
Bec, Frédérique
;
Bouabdallah, Othman
;
Ferrara, Laurent
- In:
Economic modelling
44
(
2015
),
pp. 327-334
Persistent link: https://www.econbiz.de/10011326210
Saved in:
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