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~isPartOf:"Bulletin of economic research"
~isPartOf:"Econometric theory"
~isPartOf:"Emerging markets review"
~isPartOf:"The journal of futures markets"
~subject:"ARCH model"
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Search: subject_exact:"Markov process"
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ARCH model
Markov chain
43
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9
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Bulletin of economic research
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Emerging markets review
The journal of futures markets
Energy economics
17
International journal of forecasting
12
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12
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11
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
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1
S&P 500 volatility, volatility regimes, and economic uncertainty
Adrangi, Bahram
;
Chatrath, Arjun
;
Raffiee, Kambiz
- In:
Bulletin of economic research
75
(
2023
)
4
,
pp. 1362-1387
Persistent link: https://www.econbiz.de/10014436045
Saved in:
2
A Markov regime-switching Cholesky GARCH model for directly estimating the dynamic of optimal hedge ratio
Lee, Hsiang-Tai
- In:
The journal of futures markets
42
(
2022
)
3
,
pp. 389-412
Persistent link: https://www.econbiz.de/10012817925
Saved in:
3
A component Markov regime-switching autoregressive conditional range model
Harris, Richard D. F.
;
Mazibas, Murat
- In:
Bulletin of economic research
74
(
2022
)
2
,
pp. 650-683
Persistent link: https://www.econbiz.de/10013188740
Saved in:
4
Spot market volatility and futures trading : the pitfalls of using a dummy variable approach
Bohl, Martin T.
;
Diesteldorf, Jeanne
;
Salm, Christian
; …
- In:
The journal of futures markets
36
(
2016
)
1
,
pp. 30-45
Persistent link: https://www.econbiz.de/10011567524
Saved in:
5
Causality between inflation and inflation uncertainty in South Africa: evidence from a Markov-switching vector autoregressive model
Nasr, Adnen Ben
;
Balcilar, Mehmet
;
Ajmi, Ahdi Noomen
; …
- In:
Emerging markets review
24
(
2015
),
pp. 46-68
Persistent link: https://www.econbiz.de/10011538531
Saved in:
6
Optimal futures hedging under multichain Markov regime switching
Sheu, Her-jiun
;
Lee, Hsiang-tai
- In:
The journal of futures markets
34
(
2014
)
2
,
pp. 173-202
Persistent link: https://www.econbiz.de/10010255473
Saved in:
7
The Tunisian stock market index volatility : long memory vs. switching regime
Charfeddine, Lanouar
;
Ajmi, Ahdi Noomen
- In:
Emerging markets review
16
(
2013
),
pp. 145-169
Persistent link: https://www.econbiz.de/10010243139
Saved in:
8
Parameter estimation in nonlinear AR-GARCH models
Meitz, Mika
;
Saikkonen, Pentti
- In:
Econometric theory
27
(
2011
)
6
,
pp. 1236-1278
Persistent link: https://www.econbiz.de/10009489714
Saved in:
9
Stock market volatility and exchange rates in emerging countries : a Markov-state switching approach
Walid, Chkili
;
Chaker, Aloui
;
Masood, Omar
;
Fry, John
- In:
Emerging markets review
12
(
2011
)
3
,
pp. 272-292
Persistent link: https://www.econbiz.de/10009306830
Saved in:
10
Integrated Markov-switching GARCH process
Liu, Ji-Chun
- In:
Econometric theory
25
(
2009
)
5
,
pp. 1277-1288
Persistent link: https://www.econbiz.de/10003885752
Saved in:
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