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~isPartOf:"Finance research letters"
~subject:"Estimation"
~subject:"Volatilität"
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Search: subject_exact:"Markoff-Kette"
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Estimation
Volatilität
Markov chain
34
Markov-Kette
34
Volatility
16
Capital income
10
Kapitaleinkommen
10
Schätzung
10
Börsenkurs
9
Option pricing theory
9
Optionspreistheorie
9
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Stochastischer Prozess
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Theorie
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Theory
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Aktienindex
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Ankündigungseffekt
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Shi, Yanlin
2
Abakah, Emmanuel Joel Aikins
1
Alagidede, Imhotep Paul
1
Alam, Md Rafayet
1
Bouri, Elie
1
Caldeira, João F.
1
Chen, Jun-Home
1
Chon, Sora
1
Christou, Christina
1
Echaust, Krzysztof
1
Feng, Lingbing
1
Forhad, Abdur Rahman
1
Fu, Tong
1
Gao, Lingbo
1
Gil-Alaña, Luis A.
1
Guo, Ranran
1
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1
Haas, Markus
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Ho, Kin-Yip
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Jang, Bong-Gyu
1
Just, Małgorzata
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Kim, Jaeho
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Kirby, Chris
1
Laurini, Márcio Poletti
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Lee, Hsiang-Tai
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Lian, Yu-Min
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Lo, C. C.
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Mauad, Roberto Baltieri
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Skindilias, K.
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Tae, Hyeon-Wuk
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Finance research letters
Energy economics
40
Journal of econometrics
38
Economic modelling
37
Applied economics
36
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
29
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
26
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
26
Journal of empirical finance
24
International journal of forecasting
22
International review of financial analysis
22
The North American journal of economics and finance : a journal of financial economics studies
22
Working paper
22
Applied economics letters
21
Journal of economic dynamics & control
20
Economics letters
19
International review of economics & finance : IREF
16
Macroeconomic dynamics
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Quantitative finance
16
International journal of finance & economics : IJFE
15
Journal of banking & finance
15
Econometric reviews
14
Journal of forecasting
14
Computational economics
13
International journal of theoretical and applied finance
13
Journal of applied econometrics
13
Review of quantitative finance and accounting
13
Discussion papers / Deutsches Institut für Wirtschaftsforschung
12
The European journal of finance
12
Discussion paper / Tinbergen Institute
11
Working paper / Department of Econometrics and Business Statistics, Monash University
11
Journal of mathematical finance
10
Journal of risk and financial management : JRFM
10
Research in international business and finance
10
CESifo working papers
9
European journal of operational research : EJOR
9
Journal of macroeconomics
9
SFB 649 discussion paper
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Working papers
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Discussion paper / Centre for Economic Policy Research
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ECONIS (ZBW)
19
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1
Valuation of chooser options with state-dependent risks
Lian, Yu-Min
;
Chen, Jun-Home
- In:
Finance research letters
52
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014471998
Saved in:
2
A closer look at the regime-switching evidence of bull and bear markets
Kirby, Chris
- In:
Finance research letters
52
(
2023
),
pp. 1-7
Persistent link: https://www.econbiz.de/10014472216
Saved in:
3
Forecasting returns of major cryptocurrencies : evidence from regime-switching factor models
Bouri, Elie
;
Christou, Christina
;
Gupta, Rangan
- In:
Finance research letters
49
(
2022
),
pp. 1-6
Persistent link: https://www.econbiz.de/10013479661
Saved in:
4
Re-examination of risk-return dynamics in international equity markets and the role of policy uncertainty, geopolitical risk and VIX : evidence using Markov-switching copulas
Abakah, Emmanuel Joel Aikins
;
Tiwari, Aviral Kumar
; …
- In:
Finance research letters
47
(
2022
)
1
,
pp. 1-8
Persistent link: https://www.econbiz.de/10013455804
Saved in:
5
Regime-switching angular correlation diversification
Lee, Hsiang-Tai
- In:
Finance research letters
50
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014234140
Saved in:
6
Consumption- and speculation-led change in demand for oil and the response of base metals : a Markov-switching approach
Alam, Md Rafayet
;
Forhad, Abdur Rahman
;
Sah, Nilesh B.
- In:
Finance research letters
47
(
2022
)
2
,
pp. 1-7
Persistent link: https://www.econbiz.de/10013553901
Saved in:
7
Jointly forecasting the value-at-risk and expected shortfall of Bitcoin with a regime-switching CAViaR model
Gao, Lingbo
;
Ye, Wuyi
;
Guo, Ranran
- In:
Finance research letters
48
(
2022
),
pp. 1-10
Persistent link: https://www.econbiz.de/10013459321
Saved in:
8
Does the financial leverage effect depend on volatility regimes?
Chon, Sora
;
Kim, Jaeho
- In:
Finance research letters
39
(
2021
),
pp. 1-7
Persistent link: https://www.econbiz.de/10012805319
Saved in:
9
News sentiment and states of stock return volatility : evidence from long memory and discrete choice models
Shi, Yanlin
;
Ho, Kin-Yip
- In:
Finance research letters
38
(
2021
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012485650
Saved in:
10
Discussions on the Zero-drift GARCH model : evidence from an Markov regime-switching extension
Feng, Lingbing
;
Fu, Tong
;
Shi, Yanlin
;
Wang, Zili
- In:
Finance research letters
40
(
2021
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012819431
Saved in:
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