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  • Search: subject:"Markov-switching GARCH"
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Year of publication
Subject
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Volatilität 16 ARCH model 14 ARCH-Modell 14 Volatility 14 Markov chain 12 Markov-Kette 12 Markov-switching GARCH 11 Schätzung 8 Estimation 7 Markov-switching GARCH models 7 Börsenkurs 6 Cholesky-GARCH 5 Forecasting model 5 Markov Switching GARCH Models 5 Prognoseverfahren 5 Share price 5 Theorie 5 Theory 5 Time series analysis 5 Time-varying correlations 5 USA 5 Volatility spillovers 5 Zeitreihenanalyse 5 19th century 4 CO2 Emission Allowances 4 CO2 Emission Trading 4 Spot Price Modelling 4 Volatility Forecasting 4 Aktienmarkt 3 Asian currency crisis 1997 3 Bayesian MCMC 3 Capital income 3 Kapitaleinkommen 3 Markov switching GARCH models 3 Monetary history 3 Portfolio selection 3 Portfolio-Management 3 Risiko 3 Risk 3 Stock market 3
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Online availability
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Free 24 Undetermined 11
Type of publication
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Book / Working Paper 21 Article 16
Type of publication (narrower categories)
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Article in journal 11 Aufsatz in Zeitschrift 11 Working Paper 9 Arbeitspapier 5 Graue Literatur 5 Non-commercial literature 5 Aufsatz im Buch 1 Book section 1 Conference paper 1 Konferenzbeitrag 1
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Language
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English 24 Undetermined 13
Author
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Wilfling, Bernd 8 McAleer, Michael 5 Gupta, Rangan 4 Meulemann, Max 4 Segnon, Mawuli 4 Uebele, Martin 4 Allen, David E. 3 Benschopa, Thijs 3 Bohl, Martin T. 3 Oga, Takashi 3 Polasek, Wolfgang 3 Caglayan, Mustafa 2 Kandemir, Ozge 2 Lux, Thomas 2 López Cabreraa, Brenda 2 Powell, R.J. 2 Salm, Christian A. 2 Singh, A.K. 2 Allen, David E 1 Allen, David Edmund 1 Benhmad, François 1 Cabrera, Brenda López 1 Cavicchioli, Maddalena 1 Charfeddine, Lanouar 1 Chebbi, Ali 1 Diesteldorf, Jeanne 1 Ghorbel, Achraf 1 Hedhli, Amel 1 Hu, Liang 1 Jeribi, Ahmed 1 Kamdem, Jules Sadefo 1 Kamjo, Seyed Parviz Jalili 1 Kwon, Dream 1 Lee, Oesook 1 Louafi, Raoudha 1 López Herrera, Francisco 1 Martínez Preece, Marissa del Rosario 1 Mazelis, Falk 1 Mitsui, Hidetoshi 1 Mouratidis, Kostas 1
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Institution
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Center for Quantitative Economics (CQE), Wirtschaftswissenschaftliche Fakultät 3 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 2 Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS) 1 Department of Economics, University of Sheffield 1 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 1 Institute of Economic Research, Hitotsubashi University 1 Institute of Economic Research, Kyoto University 1 Rimini Centre for Economic Analysis (RCEA) 1 Tinbergen Instituut 1
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Published in...
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CQE Working Papers 3 Economic modelling 2 SFB 649 Discussion Papers 2 Asia-Pacific Financial Markets 1 Computational economics 1 Department of Economics working paper series 1 Discussion paper / Tinbergen Institute 1 Documentos de Trabajo del ICAE 1 Economic challenges of pension systems : a sustainability and international management perspective 1 Economics Series / Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS) 1 Economics letters 1 Eurasian economic review : a journal in applied macroeconomics and finance 1 FinMaP-Working Paper 1 Finmap working paper 1 Global COE Hi-Stat Discussion Paper Series 1 International journal of forecasting 1 Journal of Economic Development 1 Journal of Financial Stability 1 Journal of financial econometrics 1 Journal of financial stability 1 Journal of urban economics and management : a quarterly journal of Iran Urban Economics Scientific Association 1 KIER Working Papers 1 Macroeconomics and finance in emerging market economies 1 Reihe Ökonomie / Economics Series 1 Risk management : an international journal 1 SFB 649 Discussion Paper 1 SFB 649 discussion paper 1 Sheffield economic research paper series 1 Studies in Nonlinear Dynamics & Econometrics 1 Tinbergen Institute Discussion Paper 1 Tinbergen Institute Discussion Papers 1 Working Paper Series / Rimini Centre for Economic Analysis (RCEA) 1 Working Papers / Department of Economics, University of Sheffield 1
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Source
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ECONIS (ZBW) 17 RePEc 16 EconStor 4
Showing 1 - 10 of 37
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Forecasting stock market volatility with regime-switching GARCH-MIDAS : the role of geopolitical risks
Segnon, Mawuli; Gupta, Rangan - 2022
Persistent link: https://www.econbiz.de/10012800652
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The functional central limit theorem for Markov-switching GARCH model
Kwon, Dream; Lee, Oesook - In: Economics letters 238 (2024), pp. 1-4
Persistent link: https://www.econbiz.de/10015075686
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Empirical performance of an ESG assets portfolio from US market
Pokou, Fredy; Kamdem, Jules Sadefo; Benhmad, François - In: Computational economics 64 (2024) 3, pp. 1569-1638
Persistent link: https://www.econbiz.de/10015143946
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Forecasting stock market volatility with regime-switching GARCH-MIDAS : the role of geopolitical risks
Segnon, Mawuli; Gupta, Rangan; Wilfling, Bernd - In: International journal of forecasting 40 (2024) 1, pp. 29-43
Persistent link: https://www.econbiz.de/10014450235
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Is the ESG portfolio less turbulent than a market benchmark portfolio?
Ouchen, Abdessamad - In: Risk management : an international journal 24 (2022) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10013163583
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Volatility spillovers and contagion between energy sector and financial assets during COVID-19 crisis period
Ghorbel, Achraf; Jeribi, Ahmed - In: Eurasian economic review : a journal in applied … 11 (2021) 3, pp. 449-467
Persistent link: https://www.econbiz.de/10012616018
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Regime-switching in the volatility of Mexican pension fund returns
López Herrera, Francisco; Martínez Preece, Marissa … - In: Economic challenges of pension systems : a …, (pp. 397-425). 2020
Several Latin American countries reformed their retirement-pension systems during the 1980s and 1990s because the previous funded or pay-as-you-go systems were deemed insufficient to support the rapidly growing aging populations. Mexico was no exception, and in 1997 it replaced its traditional...
Persistent link: https://www.econbiz.de/10012207455
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Modeling and Forecasting Carbon Dioxide Emission Allowance Spot Price Volatility: Multifractal vs. GARCH-type Volatility Models
Segnon, Mawuli; Lux, Thomas; Gupta, Rangan - 2015
) and the two-state Markov-switching GARCH (MS-GARCH) models via three loss functions (the mean squared error, the mean …
Persistent link: https://www.econbiz.de/10011306665
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Modeling and forecasting carbon dioxide emission allowance spot price volatility : multifractal vs. GARCH-type volatility models
Segnon, Mawuli; Lux, Thomas; Gupta, Rangan - 2015
) and the two-state Markov-switching GARCH (MS-GARCH) models via three loss functions (the mean squared error, the mean …
Persistent link: https://www.econbiz.de/10011296114
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Oil price shocks and housing business cycles in Iran : Markov regime-switching GARCH model
Kamjo, Seyed Parviz Jalili; Nademi, Younes - In: Journal of urban economics and management : a quarterly … 7 (2019) 25, pp. 97-113
Persistent link: https://www.econbiz.de/10011997593
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