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type:"article"
type_genre:"Bibliography included"
~isPartOf:"Quantitative finance"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Markov chain"
~type_genre:"Article in journal"
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Search: subject_exact:"Estimation theory"
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Markov chain
Estimation theory
138
Schätztheorie
138
Time series analysis
59
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59
Estimation
45
Schätzung
45
Volatility
32
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32
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18
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Bayer, Christian
1
Breneis, Simon
1
Bu, Ruijun
1
Byoung Hark Yoo
1
Chen, Wilson Ye
1
Cheng, Jie
1
Chevallier, Julien
1
De Angelis, Luca
1
Gerlach, Richard H.
1
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1
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1
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1
Peters, Gareth
1
Psaradakis, Zacharias G.
1
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1
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1
Sisson, Scott A.
1
Sola, Martin
1
Spagnolo, Fabio
1
Viroli, Cinzia
1
Wang, Xia
1
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Quantitative finance
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
22
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
8
Econometric reviews
6
Economics letters
6
Journal of forecasting
6
Computational economics
5
European journal of operational research : EJOR
5
International journal of forecasting
5
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
4
Econometrics : open access journal
3
Insurance / Mathematics & economics
3
Journal of economic dynamics & control
3
Journal of empirical finance
3
Mathematics of operations research
3
The econometrics journal
3
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
2
Applied economics letters
2
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
2
Finance research letters
2
INFORMS journal on computing : JOC
2
International journal of financial engineering
2
International journal of production economics
2
Journal of banking & finance
2
Journal of mathematical finance
2
Journal of the American Statistical Association : JASA
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Journal of time series econometrics
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ECONIS (ZBW)
11
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1
Markovian approximations of stochastic Volterra equations with the fractional kernel
Bayer, Christian
;
Breneis, Simon
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 53-70
Persistent link: https://www.econbiz.de/10013490954
Saved in:
2
Dynamic quantile function models
Chen, Wilson Ye
;
Peters, Gareth
;
Gerlach, Richard H.
; …
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1665-1691
Persistent link: https://www.econbiz.de/10013367940
Saved in:
3
Bayesian bandwidth estimation for local linear fitting in nonparametric regression models
Shang, Han Lin
;
Zhang, Xibin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 55-71
Persistent link: https://www.econbiz.de/10013334620
Saved in:
4
A Markov-switching regression model with non-Gaussian innovations : estimation and testing
De Angelis, Luca
;
Viroli, Cinzia
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011705723
Saved in:
5
On the estimation of regime-switching Lévy models
Chevallier, Julien
;
Goutte, Stéphane
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
1
,
pp. 3-29
Persistent link: https://www.econbiz.de/10011650170
Saved in:
6
Specification analysis in regime-switching continuous-time diffusion models for market volatility
Bu, Ruijun
;
Cheng, Jie
;
Hadri, Kaddour
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
1
,
pp. 65-80
Persistent link: https://www.econbiz.de/10011650223
Saved in:
7
Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
Jensen, Mark J.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
4
,
pp. 455-475
Persistent link: https://www.econbiz.de/10011649139
Saved in:
8
An extensive study on Markov switching models with endogenous regressors
Wang, Xia
;
Shang, Yuhuang
;
Zheng, Tingguo
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
18
(
2014
)
4
,
pp. 403-418
Persistent link: https://www.econbiz.de/10010461228
Saved in:
9
Estimating the term premium by a Markov switching model with ARMA-GARCH errors
Byoung Hark Yoo
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
14
(
2010
)
2
,
pp. 1-18
Persistent link: https://www.econbiz.de/10009514123
Saved in:
10
Optimal test for Markov switching GARCH models
Hu, Liang
;
Shin, Yongcheol
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
12
(
2008
)
3
,
pp. 1-25
Persistent link: https://www.econbiz.de/10009513627
Saved in:
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