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~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Nichtlineare Regression"
~subject:"Volatilität"
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Nichtlineare Regression
Volatilität
Markov chain
53
Markov-Kette
53
Theorie
29
Theory
29
Estimation
23
Schätzung
23
Time series analysis
23
Zeitreihenanalyse
23
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13
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Zinsstruktur
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Avdoulas, Christos
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Bekiros, Stelios
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Blazsek, Szabolcs
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Bu, Ruijun
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Cheng, Jie
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Chevallier, Julien
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Donayre, Luiggi
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Energy economics
33
Economic modelling
22
Journal of econometrics
20
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
18
Finance research letters
16
Journal of empirical finance
16
The North American journal of economics and finance : a journal of financial economics studies
16
Applied economics
15
International journal of forecasting
13
International review of financial analysis
11
Quantitative finance
11
International review of economics & finance : IREF
10
Journal of economic dynamics & control
10
Review of quantitative finance and accounting
10
Applied economics letters
9
Economics letters
9
International journal of theoretical and applied finance
9
Journal of forecasting
9
Journal of mathematical finance
9
The European journal of finance
9
Working paper / Department of Econometrics and Business Statistics, Monash University
9
Computational economics
8
International journal of finance & economics : IJFE
8
Journal of banking & finance
8
Discussion paper / Tinbergen Institute
7
Econometric reviews
7
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
7
Journal of risk and financial management : JRFM
6
Research in international business and finance
6
Working paper
6
Applied financial economics
5
Applied mathematical finance
5
Discussion papers / Deutsches Institut für Wirtschaftsforschung
5
Economics working paper
5
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
5
International journal of financial engineering
5
SFB 649 discussion paper
5
The journal of futures markets
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Annals of finance
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ECONIS (ZBW)
17
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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
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:
5
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:
6
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:
7
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:
8
A hidden Markov regime-switching smooth transition model
Elliott, Robert J.
;
Siu, Tak Kuen
;
Lau, John W.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
4
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011965140
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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