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subject:"Volatility"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
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Volatility
Markov chain
27
Markov-Kette
27
Volatilität
14
Estimation
12
Schätzung
12
ARCH model
10
ARCH-Modell
10
Capital income
6
Forecasting model
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Kapitaleinkommen
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Prognoseverfahren
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Aktienmarkt
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Markov switching
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Spillover effect
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Spillover-Effekt
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Stock market
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Börsenkurs
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Exchange rate
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Multivariate Verteilung
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Multivariate distribution
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Option pricing theory
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Optionspreistheorie
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Share price
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Theorie
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Theory
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Time series analysis
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Zeitreihenanalyse
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Bayes-Statistik
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Bayesian inference
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China
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Cointegration
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Emerging economies
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Financial crisis
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Finanzkrise
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Hedging
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Kointegration
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Portfolio selection
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Arellano, Miguel Ataurima
1
Bian, Zhicun
1
Chen, Miao-Ling
1
Chen, Naiwei
1
Chuang, Wen-i
1
Cuñado Eizaguirre, Juncal
1
Fan, Jiacheng
1
Gupta, Rangan
1
Göncü, Ahmet
1
Hammoudeh, Shawkat
1
Ho, Kin-Yip
1
Hong, Hui
1
Hsu, Ching-Chi
1
Huang, Teng-ching
1
Ji, Qiang
1
Jiang, Yong
1
Karahan, Mehmet Oğuz
1
Khalifa, Ahmed A. A.
1
Koh, You-Beng
1
Kuzubaş, Tolga Umut
1
Lin, Bing-huei
1
Lin, Ling
1
Liu, Bing-Yue
1
Ma, Jingtang
1
Ng, Kok-Haur
1
Ng, Kooi-Huat
1
Otranto, Edoardo
1
Ou, Yangchen
1
Perez Rodriguez, Gabriel
1
Ramchander, Sanjay
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Serletis, Apostolos
1
Shi, Yanlin
1
Tan, Chia-Yen
1
Wei, An-Pin
1
Xu, Libo
1
Yuan, Chunming
1
Zhang, Zhaoyong
1
Zheng, Tingguo
1
Zhou, Zhongbao
1
Zuo, Haomiao
1
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The North American journal of economics and finance : a journal of financial economics studies
Energy economics
33
Economic modelling
21
Journal of econometrics
18
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
17
Finance research letters
16
Journal of empirical finance
16
Applied economics
15
International journal of forecasting
13
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
12
International review of financial analysis
11
Quantitative finance
11
International review of economics & finance : IREF
10
Review of quantitative finance and accounting
10
Economics letters
9
International journal of theoretical and applied finance
9
Journal of mathematical finance
9
Applied economics letters
8
Computational economics
8
Journal of banking & finance
8
Journal of economic dynamics & control
8
Journal of forecasting
8
The European journal of finance
8
Working paper / Department of Econometrics and Business Statistics, Monash University
8
Econometric reviews
7
International journal of finance & economics : IJFE
7
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
7
Journal of risk and financial management : JRFM
6
Applied financial economics
5
Applied mathematical finance
5
Discussion paper / Tinbergen Institute
5
Discussion papers / Deutsches Institut für Wirtschaftsforschung
5
Economics working paper
5
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
5
International journal of financial engineering
5
Research in international business and finance
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SFB 649 discussion paper
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The journal of futures markets
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Annals of finance
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Econometrics : open access journal
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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
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:
4
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:
5
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:
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
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:
8
A comparative goodness-of-fit analysis of distributions of some Lévy processes and Heston model to stock index returns
Göncü, Ahmet
;
Karahan, Mehmet Oğuz
;
Kuzubaş, Tolga Umut
- In:
The North American journal of economics and finance : a …
36
(
2016
),
pp. 69-83
Persistent link: https://www.econbiz.de/10011672611
Saved in:
9
Volatility transmission across currencies and commodities with US uncertainty measures
Khalifa, Ahmed A. A.
;
Otranto, Edoardo
;
Hammoudeh, Shawkat
- In:
The North American journal of economics and finance : a …
37
(
2016
),
pp. 63-83
Persistent link: https://www.econbiz.de/10011672897
Saved in:
10
Convergence rates of recombining trees for pricing options on stocks under GBM and regime-switching models with known cash dividends
Ma, Jingtang
;
Fan, Jiacheng
- In:
The North American journal of economics and finance : a …
37
(
2016
),
pp. 128-147
Persistent link: https://www.econbiz.de/10011672905
Saved in:
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