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~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Volatilität"
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Markov chain
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Blazsek, Szabolcs
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Cheng, Jie
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Energy economics
33
Economic modelling
21
Journal of econometrics
18
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
17
Finance research letters
16
Journal of empirical finance
16
Applied economics
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The North American journal of economics and finance : a journal of financial economics studies
14
International journal of forecasting
13
International review of financial analysis
11
Quantitative finance
11
International review of economics & finance : IREF
10
Review of quantitative finance and accounting
10
Economics letters
9
International journal of theoretical and applied finance
9
Journal of mathematical finance
9
Applied economics letters
8
Computational economics
8
Journal of banking & finance
8
Journal of economic dynamics & control
8
Journal of forecasting
8
The European journal of finance
8
Working paper / Department of Econometrics and Business Statistics, Monash University
8
Econometric reviews
7
International journal of finance & economics : IJFE
7
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
7
Journal of risk and financial management : JRFM
6
Applied financial economics
5
Applied mathematical finance
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Discussion paper / Tinbergen Institute
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Discussion papers / Deutsches Institut für Wirtschaftsforschung
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Economics working paper
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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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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The journal of futures markets
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Annals of finance
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Econometrics : open access journal
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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
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:
6
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:
7
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:
8
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
Saved in:
9
Specification analysis in regime-switching continuous-time diffusion models for market volatility
Bu, Ruijun
;
Cheng, Jie
;
Hadri, Kaddour
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
1
,
pp. 65-80
Persistent link: https://www.econbiz.de/10011650223
Saved in:
10
Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
Jensen, Mark J.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
4
,
pp. 455-475
Persistent link: https://www.econbiz.de/10011649139
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