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~isPartOf:"Econometric reviews"
~isPartOf:"Review of quantitative finance and accounting"
~subject:"Volatility"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Markov-Kette"
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Volatility
Zeitreihenanalyse
Markov chain
49
Markov-Kette
49
Theorie
25
Theory
25
Volatilität
17
Monte Carlo simulation
15
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15
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Dias, José G.
2
Anderson, Richard G.
1
Ausín, M. Concepción
1
Baek, In-Seok
1
Bessec, Marie
1
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Econometric reviews
Review of quantitative finance and accounting
Journal of econometrics
38
Energy economics
36
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
31
Economic modelling
30
International journal of forecasting
29
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
28
Applied economics
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Economics letters
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Journal of forecasting
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Journal of empirical finance
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Discussion paper / Tinbergen Institute
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Finance research letters
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The North American journal of economics and finance : a journal of financial economics studies
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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International journal of finance & economics : IJFE
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Journal of banking & finance
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Discussion papers / Deutsches Institut für Wirtschaftsforschung
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Journal of economic dynamics & control
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Journal of mathematical finance
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The European journal of finance
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Econometrics : open access journal
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Journal of risk and financial management : JRFM
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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CAMA working paper series
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CREATES research paper
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ECONIS (ZBW)
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1
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta
;
Omori, Yasuhiro
- In:
Econometric reviews
42
(
2023
)
6
,
pp. 513-539
Persistent link: https://www.econbiz.de/10014305574
Saved in:
2
Option pricing under stock market cycles with jump risks : evidence from the S&P 500 index
Wang, Shin-yun
;
Chuang, Ming-Che
;
Lin, Shih-kuei
;
Shyu, …
- In:
Review of quantitative finance and accounting
56
(
2021
)
1
,
pp. 25-51
Persistent link: https://www.econbiz.de/10012432624
Saved in:
3
Intertemporal asset pricing with bitcoin
Koutmos, Dimitrios
;
Payne, James E.
- In:
Review of quantitative finance and accounting
56
(
2021
)
2
,
pp. 619-645
Persistent link: https://www.econbiz.de/10012432684
Saved in:
4
Bayesian analysis of moving average stochastic volatility models : modeling in-mean effects and leverage for financial time series
Dimitrakopoulos, Stefanos
;
Kolossiatis, Michalis
- In:
Econometric reviews
39
(
2020
)
4
,
pp. 319-343
Persistent link: https://www.econbiz.de/10012181420
Saved in:
5
Stationarity and ergodicity of vector STAR models
Kheifets, Igor L.
;
Saikkonen, Pentti J.
- In:
Econometric reviews
39
(
2020
)
4
,
pp. 407-414
Persistent link: https://www.econbiz.de/10012181431
Saved in:
6
Bayesian semiparametric multivariate stochastic volatility with application
Zaharieva, Martina Danielova
;
Trede, Mark
;
Wilfling, Bernd
- In:
Econometric reviews
39
(
2020
)
9
,
pp. 947-970
Persistent link: https://www.econbiz.de/10012295590
Saved in:
7
Revisiting the transitional dynamics of business cycle phases with mixed-frequency data
Bessec, Marie
- In:
Econometric reviews
38
(
2019
)
7
,
pp. 711-732
Persistent link: https://www.econbiz.de/10012181350
Saved in:
8
Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility
León-González, Roberto
- In:
Econometric reviews
38
(
2019
)
8
,
pp. 899-920
Persistent link: https://www.econbiz.de/10012181373
Saved in:
9
Particle learning for Bayesian semi-parametric stochastic volatility model
Virbickaitė, Audronė
;
Lopes, Hedibert Freitas
; …
- In:
Econometric reviews
38
(
2019
)
9
,
pp. 1007-1023
Persistent link: https://www.econbiz.de/10012181379
Saved in:
10
Likelihood inference for dynamic linear models with Markov switching parameters : on the efficiency of the Kim filter
Kim, Young Min
;
Kang, Kyu Ho
- In:
Econometric reviews
38
(
2019
)
10
,
pp. 1109-1130
Persistent link: https://www.econbiz.de/10012181397
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