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~isPartOf:"Journal of banking & finance"
~isPartOf:"Journal of forecasting"
~subject:"Volatility"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Markov-Kette"
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Volatility
Zeitreihenanalyse
Markov chain
72
Markov-Kette
72
Theorie
35
Theory
35
Forecasting model
32
Prognoseverfahren
32
Time series analysis
20
Estimation
18
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18
Volatilität
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14
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Markov chain Monte Carlo
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So, Mike Ka-pui
3
Chen, Cathy W. S.
2
Kaeck, Andreas
2
Lin, Edward M. H.
2
Madsen, Henrik
2
Alexander, Carol
1
Asai, Manabu
1
Baldeaux, Jan
1
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1
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1
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1
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1
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1
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1
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1
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1
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Journal of banking & finance
Journal of forecasting
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
21
Economics letters
20
Journal of empirical finance
18
Discussion paper / Tinbergen Institute
17
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
14
International review of economics & finance : IREF
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International journal of theoretical and applied finance
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12
CESifo working papers
11
International journal of finance & economics : IJFE
11
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Discussion papers / Deutsches Institut für Wirtschaftsforschung
10
Journal of economic dynamics & control
9
Journal of mathematical finance
9
The European journal of finance
9
Econometrics : open access journal
8
Journal of applied econometrics
8
Journal of risk and financial management : JRFM
8
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
7
CAMA working paper series
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CREATES research paper
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ECONIS (ZBW)
31
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1
A Bayesian time-varying autoregressive model for improved short-term and long-term prediction
Berninger, Christoph
;
Stöcker, Almond
;
Rügamer, David
- In:
Journal of forecasting
41
(
2022
)
1
,
pp. 181-200
Persistent link: https://www.econbiz.de/10012796284
Saved in:
2
Price discovery in equity markets : a state-dependent analysis of spot and futures markets
Kuck, Konstantin
;
Schweikert, Karsten
- In:
Journal of banking & finance
149
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014462550
Saved in:
3
A new Markov regime-switching count time series approach for forecasting initial public offering volumes and detecting issue cycles
Wang, Xinyu
;
Ning, Cathy Q.
- In:
Journal of forecasting
41
(
2022
)
1
,
pp. 118-133
Persistent link: https://www.econbiz.de/10012796275
Saved in:
4
Bayesian quantile forecasting via the realized hysteretic GARCH model
Chen, Cathy W. S.
;
Lin, Edward M. H.
;
Huang, Tara F. J.
- In:
Journal of forecasting
41
(
2022
)
7
,
pp. 1317-1337
Persistent link: https://www.econbiz.de/10013465697
Saved in:
5
Forecasting oil futures realized range-based volatility with jumps, leverage effect, and regime switching : new evidence from MIDAS models
Lu, Xinjie
;
Ma, Feng
;
Wang, Jiqian
;
Liu, Jing
- In:
Journal of forecasting
41
(
2022
)
4
,
pp. 853-868
Persistent link: https://www.econbiz.de/10013287870
Saved in:
6
Detecting money market bubbles
Baldeaux, Jan
;
Ignatieva, Ekaterina
;
Platen, Eckhard
- In:
Journal of banking & finance
87
(
2018
),
pp. 369-379
Persistent link: https://www.econbiz.de/10011962562
Saved in:
7
Sector spillovers in credit markets
Collet, Jerome
;
Ielpo, Florian
- In:
Journal of banking & finance
94
(
2018
),
pp. 267-278
Persistent link: https://www.econbiz.de/10011966651
Saved in:
8
Stochastic multivariate mixture covariance model
So, Mike Ka-pui
;
Li, Raymond W. M.
;
Asai, Manabu
;
Jiang, Yue
- In:
Journal of forecasting
36
(
2017
)
2
,
pp. 139-155
Persistent link: https://www.econbiz.de/10011729126
Saved in:
9
Integrating quarterly data into a dynamic factor model of US monthly GDP
Vlavonou, Firmin
;
Gordon, Stephen F.
- In:
Journal of forecasting
36
(
2017
)
4
,
pp. 325-336
Persistent link: https://www.econbiz.de/10011860413
Saved in:
10
Long memory of financial time series and hidden Markov models with time‐varying parameters
Nystrup, Peter
;
Madsen, Henrik
;
Lindström, Erik
- In:
Journal of forecasting
36
(
2017
)
8
,
pp. 989-1002
Persistent link: https://www.econbiz.de/10011860941
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