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~isPartOf:"Journal of empirical finance"
~subject:"Monte Carlo simulation"
~subject:"Volatilität"
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Search: subject_exact:"Markoff-Kette"
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Monte Carlo simulation
Volatilität
Markov chain
34
Markov-Kette
34
Theorie
17
Theory
17
Volatility
16
Estimation
15
Schätzung
15
Capital income
14
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14
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Aragó Manzana, Vicent
1
BenSaïda, Ahmed
1
Chakravarty, Sugato
1
Chourdakis, Kyriakos
1
Constantinou, Nick
1
Diewald, Laszlo
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Dotsis, George
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Journal of empirical finance
Journal of econometrics
56
Energy economics
37
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
34
Discussion paper / Tinbergen Institute
27
Economic modelling
23
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
21
Working paper / Department of Econometrics and Business Statistics, Monash University
20
International journal of forecasting
18
Quantitative finance
18
Finance research letters
17
Applied economics
16
Economics letters
16
Série des documents de travail / Centre de Recherche en Économie et Statistique
16
Journal of forecasting
15
The North American journal of economics and finance : a journal of financial economics studies
15
Econometric reviews
14
European journal of operational research : EJOR
14
International review of financial analysis
13
Journal of economic dynamics & control
13
Computational economics
12
Applied economics letters
11
International journal of theoretical and applied finance
11
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
10
International review of economics & finance : IREF
10
Journal of banking & finance
10
Journal of mathematical finance
10
Review of quantitative finance and accounting
10
Risks : open access journal
10
Working paper
10
Insurance / Mathematics & economics
9
The European journal of finance
9
Journal of risk and financial management : JRFM
8
Journal of the American Statistical Association : JASA
8
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
8
SFB 649 discussion paper
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Working papers
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Economics working paper
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International journal of finance & economics : IJFE
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ECONIS (ZBW)
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1
An empirical application of Particle Markov Chain Monte Carlo to frailty correlated default models
Nguyen, Ha
- In:
Journal of empirical finance
72
(
2023
),
pp. 103-121
Persistent link: https://www.econbiz.de/10014476811
Saved in:
2
A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks
Pollastri, Alessandro
;
Rodrigues, Paulo Jorge Maurício
; …
- In:
Journal of empirical finance
70
(
2023
),
pp. 322-341
Persistent link: https://www.econbiz.de/10014423714
Saved in:
3
Are cryptocurrencies a safe haven for stock investors? : a regime-switching approach
Li, Leon
;
Miu, Peter
- In:
Journal of empirical finance
70
(
2023
),
pp. 367-385
Persistent link: https://www.econbiz.de/10014423734
Saved in:
4
Volatility cascades in cryptocurrency trading
Gradojevic, Nikola
;
Tsiakas, Ilias
- In:
Journal of empirical finance
62
(
2021
),
pp. 252-265
Persistent link: https://www.econbiz.de/10012693424
Saved in:
5
A multiple regime extension to the Heston–Nandi GARCH(1,1) model
Díaz-Hernández, Adán
;
Constantinou, Nick
- In:
Journal of empirical finance
53
(
2019
),
pp. 162-180
Persistent link: https://www.econbiz.de/10012171628
Saved in:
6
Oil price volatility and macroeconomic fundamentals : a regime switching GARCH-MIDAS model
Pan, Zhiyuan
;
Wang, Yudong
;
Wu, Chongfeng
;
Yin, Libo
- In:
Journal of empirical finance
43
(
2017
),
pp. 130-142
Persistent link: https://www.econbiz.de/10011817944
Saved in:
7
The frequency of regime switching in financial market volatility
BenSaïda, Ahmed
- In:
Journal of empirical finance
32
(
2015
),
pp. 63-79
Persistent link: https://www.econbiz.de/10011556784
Saved in:
8
Time-variations in commodity price jumps
Diewald, Laszlo
;
Prokopczuk, Marcel
;
Wese Simen, Chardin
- In:
Journal of empirical finance
31
(
2015
),
pp. 72-84
Persistent link: https://www.econbiz.de/10011489343
Saved in:
9
Re-examining the risk-return relationship in Europe : linear or non-linear trade-off?
Salvador, Enrique
;
Floros, Christos
;
Aragó Manzana, Vicent
- In:
Journal of empirical finance
28
(
2014
),
pp. 60-77
Persistent link: https://www.econbiz.de/10011284508
Saved in:
10
Stock market volatility and equity returns : evidence from a two-state Markov-switching model with regressors
Xinyi, Liu
;
Margaritis, Dimitris
;
Wang, Peiming
- In:
Journal of empirical finance
19
(
2012
)
4
,
pp. 483-496
Persistent link: https://www.econbiz.de/10009615667
Saved in:
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