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~institution:"Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät"
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CO2 Emission Allowances
2
CO2 Emission Trading
2
Markov Switching GARCH Models
2
Markov chain
2
Markov chain Monte Carlo
2
Spot Price Modelling
2
Volatility Forecasting
2
conditional heteroskedasticity
2
ARFIMA process
1
ARMA
1
Asym- metric Laplace error distribution
1
Bayesian analysis
1
Bayesian inference
1
British Cohort Study data
1
Dynamic stochastic general equilibrium model
1
GARCH
1
Hidden Markov model
1
Hierarchical Archimedean Copulae
1
Long memory
1
Markov
1
Markov Chain Monte Carlo
1
Markov switching
1
Markov switching model
1
Metropolis-Hastings al- Jump Processes
1
Model evaluation
1
Monte Carlo simulation
1
Multivariate Distribution
1
Quantile regression
1
Reversible Jump Markov Chain Monte Carlo
1
Stochastic Volatility
1
Structural vector autoregression
1
Variable selection
1
Vector autoregression
1
Viterbi algorithm
1
dynamic factor model
1
equilibrium pricing
1
estimation of risk
1
forward and reverse Markov chains
1
heteroskedasticity
1
identication via heteroskedasticity
1
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13
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English
7
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6
Author
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Hautsch, Nikolaus
2
Härdle, Wolfgang
2
Härdle, Wolfgang Karl
2
Lütkepohl, Helmut
2
Benschopa, Thijs
1
Cabrera, Brenda López
1
Dai, Xianhua
1
Fischer, Markus
1
Mazelis, Falk
1
Meyer-Gohde, Alexander
1
Milstein, Grigori
1
Netšunajev, Aleksei
1
Neuhoff, Daniel
1
Okhrin, Ostap
1
Osipenko, Maria
1
Ou, Yangguoyi
1
Reiss, Markus
1
Schoenmakers, John
1
Spokoiny, Vladimir
1
Tsay, Wen-Jen
1
Velinov, Anton
1
Wang, Weining
1
Yang, Fuyu
1
Yu, Keming
1
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Institution
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
165
National Bureau of Economic Research
86
C.E.P.R. Discussion Papers
59
EconWPA
54
HAL
46
International Monetary Fund (IMF)
41
Society for Computational Economics - SCE
38
Tinbergen Instituut
38
Econometric Society
35
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
30
Université Paris-Dauphine (Paris IX)
30
Department of Econometrics and Business Statistics, Monash Business School
29
Department of Economics, Oxford University
28
Erasmus University Rotterdam, Econometric Institute
28
Tinbergen Institute
27
DIW Berlin (Deutsches Institut für Wirtschaftsforschung)
24
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
20
Institute for the Study of Labor (IZA)
20
CESifo
18
European Central Bank
18
Rimini Centre for Economic Analysis (RCEA)
18
Department of Agricultural and Resource Economics, University of California-Berkeley
17
Dipartimento di Economia, Università Ca' Foscari Venezia
16
Federal Reserve Bank of St. Louis
16
Institut für Weltwirtschaft (IfW)
16
Oesterreichische Nationalbank
16
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
15
Departamento de Estadistica, Universidad Carlos III de Madrid
15
Society for Economic Dynamics - SED
15
European Association of Agricultural Economists - EAAE
14
London School of Economics (LSE)
14
School of Economics and Management, University of Aarhus
14
Tilburg University, Center for Economic Research
14
Cowles Foundation for Research in Economics, Yale University
13
Ekonomiska forskningsinstitutet <Stockholm>
13
Scottish Institute for Research in Economics (SIRE)
13
University of British Columbia / Finance Division
13
Econometrisch Instituut <Rotterdam>
12
Economics Institute for Research (SIR), Handelshögskolan i Stockholm
12
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SFB 649 Discussion Papers
13
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RePEc
13
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1
Generalized Exogenous Processes in DSGE: A Bayesian Approach
Meyer-Gohde, Alexander
;
Neuhoff, Daniel
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2015
The Reversible Jump
Markov
Chain Monte Carlo (RJMCMC) method can enhance Bayesian DSGE estimation by sampling from a …
Persistent link: https://www.econbiz.de/10011207678
Saved in:
2
Structural Vector Autoregressions with Heteroskedasticy
Lütkepohl, Helmut
;
Netšunajev, Aleksei
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2015
A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive (VAR) analysis. A number of different models for heteroskedasticity or conditional heteroskedasticity are proposed and used in applications in this context. This study reviews the...
Persistent link: https://www.econbiz.de/10011207679
Saved in:
3
Corporate Cash Hoarding in a Model with Liquidity Constraints
Mazelis, Falk
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2014
This paper studies the role of uncertainty in the corporate cash hoarding puzzle. The baseline model is a stochastic neoclassical growth model featuring idiosyncratic and uninsurable productivity shocks and a cash-in-advance constraint on new in- vestments on the individual firm level....
Persistent link: https://www.econbiz.de/10010940072
Saved in:
4
Volatility Modelling of CO2 Emission Allowance Spot Prices with Regime-Switching GARCH Models
Benschopa, Thijs
;
Cabrera, Brenda López
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2014
I compare the performance of solution methods in solving a standard real business cycle model with labor market search frictions. Under the conventional calibration, the model is solved by the projection method using the Chebyshev polynomials as its basis, and the perturbation methods up to...
Persistent link: https://www.econbiz.de/10010929781
Saved in:
5
Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity
Lütkepohl, Helmut
;
Velinov, Anton
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2014
, exogenously generated changes in the unconditional residual covariance matrix, changing volatility modelled by a
Markov
switching …
Persistent link: https://www.econbiz.de/10010734525
Saved in:
6
Do Maternal Health Problems Influence Child's Worrying Status? Evidence from British Cohort Study
Dai, Xianhua
;
Härdle, Wolfgang Karl
;
Yu, Keming
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2014
Markov
chain Monte Carlo method. Applying this approach to the 1970 British Cohort Study data, it finds that a different …
Persistent link: https://www.econbiz.de/10011184073
Saved in:
7
Discretisation of Stochastic Control Problems for Continuous Time Dynamics with Delay
Fischer, Markus
;
Reiss, Markus
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2005
by sequences of controlled
Markov
chains, thus discretizing time and space. A new feature in this context is to allow for … class of relaxed controls. Weak convergence of the approximating extended
Markov
chains to the original process together …
Persistent link: https://www.econbiz.de/10005652753
Saved in:
8
HMM in dynamic HAC models
Härdle, Wolfgang Karl
;
Okhrin, Ostap
;
Wang, Weining
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2012
aims at attacking this problem by building up a hidden
Markov
model (HMM) for Hierarchical Archimedean Copulae (HAC), where …
Persistent link: https://www.econbiz.de/10009399336
Saved in:
9
Pricing Chinese rain: a multi-site multi-period equilibrium pricing model for rainfall derivatives
Härdle, Wolfgang
;
Osipenko, Maria
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2011
Many industries are exposed to weather risk which they can transfer on financial markets via weather derivatives. Equilibrium models based on partial market clearing became a useful tool for pricing such kind of financial instruments. In a multi-period equilibrium pricing model agents rebalance...
Persistent link: https://www.econbiz.de/10009275681
Saved in:
10
Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model
Hautsch, Nikolaus
;
Yang, Fuyu
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2010
the underlying yield factors. We propose a
Markov
chain Monte Carlo (MCMC) algorithm to efficiently estimate the SVNS …
Persistent link: https://www.econbiz.de/10008496955
Saved in:
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