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~isPartOf:"Applied economics"
~isPartOf:"Econometric theory"
~source:"econis"
~subject:"ARCH model"
~subject:"Nichtparametrisches Verfahren"
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Search: subject_exact:"Markov process"
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ARCH model
Nichtparametrisches Verfahren
Markov chain
68
Markov-Kette
68
Estimation
31
Schätzung
31
Theorie
26
Theory
26
ARCH-Modell
15
Time series analysis
15
Volatility
15
Volatilität
15
Zeitreihenanalyse
15
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12
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Meitz, Mika
2
Saikkonen, Pentti
2
Abramson, Ari
1
Becker, Ralf
1
Blazsek, Szabolcs
1
Chen, Bin
1
Cheng, Jen-chi
1
Chu, Guoqing
1
Cohen, Israel
1
Cremaschini, Alessandro
1
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1
Ho, Han-Chiang
1
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1
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1
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1
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1
Luo, H. Arthur
1
Ma, Feng
1
Martellucci, Eliano
1
Maruotti, Antonello
1
Pereira, Pedro L. Valls
1
Punzón, Antonio
1
Ren, Ying-hua
1
Rewat Khanthaporn
1
Roca, Eduardo
1
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1
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1
Vijverberg, Chu-ping C.
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Vikkram Singh
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Wirjanto, Tony S.
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Yang, Ke
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Yoder, Jonathan K.
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You, Wan-hai
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Applied economics
Econometric theory
Energy economics
20
Journal of econometrics
17
International journal of forecasting
13
Journal of empirical finance
13
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
12
Economic modelling
10
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
10
The North American journal of economics and finance : a journal of financial economics studies
10
Working paper / Department of Econometrics and Business Statistics, Monash University
8
Economics letters
7
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
7
International review of economics & finance : IREF
7
Discussion paper / Tinbergen Institute
6
Finance research letters
6
Journal of forecasting
6
Applied economics letters
5
CORE discussion papers : DP
5
Econometric reviews
5
European journal of operational research : EJOR
5
International Journal of Financial Studies : open access journal
5
International review of financial analysis
5
Quantitative finance
5
The European journal of finance
5
CESifo working papers
4
Department of Economics discussion paper series / University of Oxford
4
Emerging markets review
4
International journal of finance & economics : IJFE
4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
4
Research in international business and finance
4
SFB 649 discussion paper
4
CEMMAP working papers / Centre for Microdata Methods and Practice
3
CREATES research paper
3
Computational economics
3
Discussion papers / Deutsches Institut für Wirtschaftsforschung
3
International journal of economics and finance
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Journal of banking & finance
3
SSE EFI working paper series in economics and finance
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ECONIS (ZBW)
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1
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:
2
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:
3
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:
4
Weathering financial crisis in China : the role of global market integration
Vikkram Singh
;
Roca, Eduardo
- In:
Applied economics
53
(
2021
)
15
,
pp. 1756-1776
Persistent link: https://www.econbiz.de/10012485291
Saved in:
5
Volatility forecasting : long memory, regime switching and heteroscedasticity
Ma, Feng
;
Lu, Xinjie
;
Yang, Ke
;
Zhang, Yaojie
- In:
Applied economics
51
(
2019
)
38
,
pp. 4151-4163
Persistent link: https://www.econbiz.de/10012196974
Saved in:
6
Score-driven Markov-switching EGARCH models : an application to systematic risk analysis
Blazsek, Szabolcs
;
Ho, Han-Chiang
;
Liu, Su-Ping
- In:
Applied economics
50
(
2018
)
56
,
pp. 6047-6060
Persistent link: https://www.econbiz.de/10012063386
Saved in:
7
Asymmetric effects of oil price shocks on stock returns : evidence from a two-stage Markov regime-switching approach
Zhu, Huiming
;
Su, Xianfang
;
You, Wan-hai
;
Ren, Ying-hua
- In:
Applied economics
49
(
2017
)
25
,
pp. 2491-2507
Persistent link: https://www.econbiz.de/10011819559
Saved in:
8
Monetary shocks, equity returns and volatility : a firm-level panel data analysis
Luo, H. Arthur
;
Cheng, Jen-chi
;
Vijverberg, Chu-ping C.
- In:
Applied economics
48
(
2016
)
4/6
,
pp. 261-275
Persistent link: https://www.econbiz.de/10011412709
Saved in:
9
Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching
Rotta, Pedro Nielsen
;
Pereira, Pedro L. Valls
- In:
Applied economics
48
(
2016
)
25/27
,
pp. 2367-2382
Persistent link: https://www.econbiz.de/10011590996
Saved in:
10
Measuring the Chinese business cycle
Becker, Ralf
;
Wang, Yuanyuan
- In:
Applied economics
45
(
2013
)
28/30
,
pp. 3988-4003
Persistent link: https://www.econbiz.de/10010345805
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