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  • Search: subject:"Markov Regime-Switching GARCH"
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Year of publication
Subject
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Markov Regime-Switching GARCH 5 Volatility 5 News sentiment 3 Public information arrival 3 Volatilität 3 ARCH model 2 ARCH-Modell 2 Ankündigungseffekt 2 Announcement effect 2 Asset volatility 2 Börsenkurs 2 Estimation 2 FIGARCH 2 Forecast Evaluation 2 Forecasting 2 Forecasting model 2 Markov chain 2 Markov-Kette 2 Prognoseverfahren 2 Risk-management Value-at-Risk-based loss functions 2 Schätzung 2 Share price 2 Aktienindex 1 Aktienmarkt 1 Capital income 1 Climate Policy Uncertainty 1 Corporate Social Responsibility 1 Corporate social responsibility 1 Demand and Price Analysis 1 Environmental 1 Information dissemination 1 Informationsverbreitung 1 Kapitaleinkommen 1 Markov Regime Switching GARCH 1 Markov-regime switching GARCH-MIDAS approach 1 Option Pricing 1 Social and governance index 1 Stock index 1 Stock market 1 Stock return volatility 1
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Online availability
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Undetermined 5 Free 1
Type of publication
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Article 6 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 3 Aufsatz in Zeitschrift 3
Language
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Undetermined 4 English 3
Author
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Ho, Kin-Yip 3 Shi, Yanlin 3 Marcucci, Juri 2 Zhang, Zhaoyong 2 Ghani, Maria 1 Ghani, Usman 1 Guan, Zhengfei 1 Liu, Wai-man 1 Qin, Quande 1 Wu, Feng 1 Zhu, Bo 1
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Institution
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Agricultural and Applied Economics Association - AAEA 1
Published in...
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Studies in Nonlinear Dynamics & Econometrics 2 2010 Annual Meeting, July 25-27, 2010, Denver, Colorado 1 Finance research letters 1 International review of economics & finance : IREF 1 The North American Journal of Economics and Finance 1 The North American journal of economics and finance : a journal of financial economics studies 1
Source
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RePEc 4 ECONIS (ZBW) 3
Showing 1 - 7 of 7
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Forecasting US stock market volatility : evidence from ESG and CPU indices
Ghani, Usman; Zhu, Bo; Qin, Quande; Ghani, Maria - In: Finance research letters 59 (2024), pp. 1-7
Persistent link: https://www.econbiz.de/10014445411
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Public information arrival and stock return volatility : evidence from news sentiment and Markov Regime-Switching Approach
Shi, Yanlin; Ho, Kin-Yip; Liu, Wai-man - In: International review of economics & finance : IREF 42 (2016), pp. 291-312
Persistent link: https://www.econbiz.de/10011625119
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Pricing Commodity Options under Markov Regime Switching GARCH Processes
Wu, Feng; Guan, Zhengfei - Agricultural and Applied Economics Association - AAEA - 2010
MS-GARCH option pricing model proposed in this paper accommodates new features of corn futures price movement in the era of biofuel production and therefore is more general. Our findings show that this new model will outperform models used in the existing literature both for the in-sample and...
Persistent link: https://www.econbiz.de/10009020828
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How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches
Ho, Kin-Yip; Shi, Yanlin; Zhang, Zhaoyong - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 436-456
Conditionally Heteroskedastic (FIGARCH) and the two-state Markov Regime-Switching GARCH (RS-GARCH) models. For most of the DJN 65 …
Persistent link: https://www.econbiz.de/10010730257
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Cover Image
How does news sentiment impact asset volatility? : evidence from long memory and regime-switching approaches
Ho, Kin-Yip; Shi, Yanlin; Zhang, Zhaoyong - In: The North American journal of economics and finance : a … 26 (2013), pp. 436-456
Persistent link: https://www.econbiz.de/10010367572
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Forecasting Stock Market Volatility with Regime-Switching GARCH Models
Marcucci, Juri - In: Studies in Nonlinear Dynamics & Econometrics 9 (2007) 4, pp. 1145-1145
In this paper we compare a set of different standard GARCH models with a group of Markov Regime-Switching GARCH (MRS …
Persistent link: https://www.econbiz.de/10004966275
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Cover Image
Forecasting Stock Market Volatility with Regime-Switching GARCH Models
Marcucci, Juri - In: Studies in Nonlinear Dynamics & Econometrics 9 (2005) 4, pp. 1145-1145
In this paper we compare a set of different standard GARCH models with a group of Markov Regime-Switching GARCH (MRS …
Persistent link: https://www.econbiz.de/10005246316
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