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~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Kointegration"
~subject:"Volatilität"
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Kointegration
Volatilität
Markov chain
53
Markov-Kette
53
Theorie
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29
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23
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23
Time series analysis
23
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Avdoulas, Christos
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Bekiros, Stelios
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Energy economics
37
Economic modelling
24
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
21
Journal of econometrics
21
Applied economics
17
The North American journal of economics and finance : a journal of financial economics studies
17
Finance research letters
16
Journal of empirical finance
16
International journal of forecasting
14
International review of financial analysis
12
Economics letters
11
Quantitative finance
11
Review of quantitative finance and accounting
11
International review of economics & finance : IREF
10
Journal of economic dynamics & control
10
Journal of forecasting
10
Applied economics letters
9
Computational economics
9
Econometric reviews
9
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
9
International journal of finance & economics : IJFE
9
International journal of theoretical and applied finance
9
Journal of banking & finance
9
Journal of mathematical finance
9
The European journal of finance
9
Working paper / Department of Econometrics and Business Statistics, Monash University
9
Discussion paper / Tinbergen Institute
8
Discussion papers / Deutsches Institut für Wirtschaftsforschung
8
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
7
Economics working paper
6
Journal of risk and financial management : JRFM
6
Applied financial economics
5
Applied mathematical finance
5
CAMA working paper series
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CESifo working papers
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Econometrics : open access journal
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International journal of financial engineering
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Research in international business and finance
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SFB 649 discussion paper
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ECONIS (ZBW)
16
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1
Score-driven multi-regime Markov-switching EGARCH : empirical evidence using the Meixner distribution
Blazsek, Szabolcs
;
Haddad, Michel Ferreira Cardia
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
4
,
pp. 589-634
Persistent link: https://www.econbiz.de/10014372917
Saved in:
2
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:
3
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:
4
Stochastic model specification in Markov switching vector error correction models
Hauzenberger, Niko
;
Huber, Florian
;
Pfarrhofer, Michael
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
2
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012507433
Saved in:
5
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:
6
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:
7
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:
8
A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns
Haas, Markus
;
Liu, Ji-Chun
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011897499
Saved in:
9
VEC-MSF models in Bayesian analysis of short- and long-run relationships
Pajor, Anna
;
Wróblewska, Justyna
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011708691
Saved in:
10
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
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