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~isPartOf:"Econometric Institute research papers"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Stochastic process"
~subject:"Yield curve"
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Stochastic process
Yield curve
Markov chain
68
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68
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33
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33
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28
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28
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Abdymomunov, Azamat
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Avdoulas, Christos
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Byoung Hark Yoo
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Econometric Institute research papers
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
European journal of operational research : EJOR
37
International journal of theoretical and applied finance
28
Insurance / Mathematics & economics
22
Mathematics of operations research
17
Finance and stochastics
15
Journal of econometrics
15
Economic modelling
14
Quantitative finance
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Operations research
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
12
Annals of operations research
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Risks : open access journal
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Computational economics
10
Finance research letters
10
International journal of production research
10
Journal of mathematical finance
10
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10
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9
International review of financial analysis
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Journal of banking & finance
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Journal of economic dynamics & control
9
Applied mathematical finance
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Asia-Pacific financial markets
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Econometric reviews
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Economic theory : official journal of the Society for the Advancement of Economic Theory
8
Working paper / Department of Econometrics and Business Statistics, Monash University
8
Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW)
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Annals of finance
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Journal of empirical finance
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Mathematical methods of operations research : ZOR
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Operations research letters
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Review of derivatives research
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Review of quantitative finance and accounting
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Computers & operations research : and their applications to problems of world concern ; an international journal
6
International journal of forecasting
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Journal of forecasting
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Journal of risk and financial management : JRFM
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Quantitative economics : QE ; journal of the Econometric Society
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ECONIS (ZBW)
12
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1
Are multifractal processes suited to forecasting electricity price volatility? : evidence from Australian intraday data
Segnon, Mawuli
;
Lau, Chi Keung
;
Wilfling, Bernd
;
Gupta, …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 73-98
Persistent link: https://www.econbiz.de/10013334628
Saved in:
2
The co-integration of CDS and bonds in time-varying volatility dynamics : do credit risk swaps lower bond risks?
Li, Leon
;
Scrimgeour, Frank G.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
3
,
pp. 475-497
Persistent link: https://www.econbiz.de/10013334844
Saved in:
3
An effcient exact Bayesian method for state space models with stochastic volatility
Huang, Yu-Fan
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
2
,
pp. 1-10
Persistent link: https://www.econbiz.de/10012507436
Saved in:
4
The term structure of Eurozone peripheral bond yields : an asymmetric regime-switching equilibrium correction approach
Avdoulas, Christos
;
Bekiros, Stelios
;
Lucey, Brian M.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
24
(
2020
)
4
,
pp. 1-23
Persistent link: https://www.econbiz.de/10012299596
Saved in:
5
Stochastic levels and duration dependence in US unemployment
Bruijn, Bert de
;
Franses, Philip Hans
-
2015
Persistent link: https://www.econbiz.de/10011432575
Saved in:
6
An efficient sequential learning algorithm in regime-switching environments
Kim, Jaeho
;
Lee, Sunhyung
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
3
,
pp. 1-14
Persistent link: https://www.econbiz.de/10012054894
Saved in:
7
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:
8
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:
9
The effects of monetary policy regime shifts on the term structure of interest rates
Abdymomunov, Azamat
;
Kang, Kyu Ho
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
19
(
2015
)
2
,
pp. 183-207
Persistent link: https://www.econbiz.de/10011313588
Saved in:
10
Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns
Nakajima, Jouchi
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
17
(
2013
)
5
,
pp. 499-520
Persistent link: https://www.econbiz.de/10010228561
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