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isPartOf:"Journal of econometrics"
~isPartOf:"Applied financial economics"
~isPartOf:"International journal of finance & economics : IJFE"
~isPartOf:"NBER working paper series"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"Volatility"
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Stochastischer Prozess
Volatility
1,207
Volatilität
1,207
Theorie
361
Theory
361
Estimation
298
Schätzung
298
Börsenkurs
293
Share price
293
Capital income
252
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252
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174
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174
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156
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156
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146
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146
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145
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136
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136
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129
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129
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117
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117
Welt
105
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105
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104
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104
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76
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75
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70
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70
Option pricing theory
66
Optionspreistheorie
66
CAPM
61
Risiko
60
Risk
60
Risikoprämie
58
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58
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English
145
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Todorov, Viktor
12
Tauchen, George Eugene
8
Asai, Manabu
5
Bollerslev, Tim
5
McAleer, Michael
5
Andersen, Torben
3
Andersen, Torben G.
3
Aït-Sahalia, Yacine
3
Carriero, Andrea
3
Clark, Todd E.
3
Li, Jia
3
Marcellino, Massimiliano
3
Shephard, Neil G.
3
Xiu, Dacheng
3
Yu, Jun
3
Ait-Sahalia, Yacine
2
Amengual, Dante
2
Bondarenko, Oleg
2
Boswijk, Herman Peter
2
Chacko, George
2
Chan, Joshua
2
Chang, Chia-Lin
2
Chib, Siddhartha
2
Creal, Drew
2
Diebold, Francis X.
2
Dufour, Jean-Marie
2
Fisher, Adlai
2
Francq, Christian
2
Fusari, Nicola
2
Gallant, A. Ronald
2
Grynkiv, Iaryna
2
Guerrón-Quintana, Pablo A.
2
Jensen, Mark J.
2
Jones, Christopher S.
2
Kim, Donggyu
2
Kim, Young Shin
2
Maheu, John M.
2
Park, Joon Y.
2
Poon, Aubrey
2
Renault, Eric
2
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National Bureau of Economic Research
18
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Journal of econometrics
Applied financial economics
International journal of finance & economics : IJFE
NBER working paper series
International journal of theoretical and applied finance
135
Quantitative finance
84
Applied mathematical finance
61
Discussion paper / Tinbergen Institute
56
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
54
Mathematical finance : an international journal of mathematics, statistics and financial theory
49
The journal of computational finance
49
Finance and stochastics
47
Computational economics
46
Journal of economic dynamics & control
46
Econometric reviews
44
Journal of mathematical finance
38
European journal of operational research : EJOR
37
Working paper
36
Insurance / Mathematics & economics
35
International journal of financial engineering
35
Journal of banking & finance
35
Finance research letters
34
Journal of financial econometrics : official journal of the Society for Financial Econometrics
32
Annals of finance
30
Journal of empirical finance
29
Research paper series / Swiss Finance Institute
29
The journal of futures markets
29
Energy economics
28
Risks : open access journal
28
Economics letters
27
The North American journal of economics and finance : a journal of financial economics studies
26
CAMA working paper series
24
Review of derivatives research
24
Journal of risk and financial management : JRFM
23
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
23
CREATES research paper
22
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
22
Applied economics
20
Economic modelling
20
Journal of financial economics
18
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17
The European journal of finance
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ECONIS (ZBW)
145
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1
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145
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1
A latent-factor-driven endogenous regime-switching non-Gaussian model : evidence from simulation and application
Bu, Ruijun
;
Cheng, Jie
;
Jawadi, Fredj
- In:
International journal of finance & economics : IJFE
27
(
2022
)
4
,
pp. 3881-3896
Persistent link: https://www.econbiz.de/10013461280
Saved in:
2
Joint calibration of S&P 500 and VIX options under local stochastic volatility models
Zhou, Zhiqiang
;
Xu, Wei
;
Rubtsov, Alexey
- In:
International journal of finance & economics : IJFE
29
(
2024
)
1
,
pp. 273-310
Persistent link: https://www.econbiz.de/10014469009
Saved in:
3
Comparing stochastic volatility specifications for large Bayesian VARs
Chan, Joshua
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1419-1446
Persistent link: https://www.econbiz.de/10014471398
Saved in:
4
Large stochastic volatility in mean VARs
Cross, Jamie
;
Hou, Chenghan
;
Koop, Gary
;
Poon, Aubrey
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014332245
Saved in:
5
High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua
;
Poon, Aubrey
;
Zhu, Dan
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
Saved in:
6
Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Wang, Xiaohu
;
Xiao, Weilin
;
Yu, Jun
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 389-415
Persistent link: https://www.econbiz.de/10014339985
Saved in:
7
Scalable inference for a full multivariate stochastic volatility model
Dellaportas, Petros
;
Titsias, Michalis K.
;
Petrova, Katerina
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 501-520
Persistent link: https://www.econbiz.de/10014340078
Saved in:
8
Time-varying roles of housing risk factors in state-level housing markets
Huang, MeiChi
- In:
International journal of finance & economics : IJFE
27
(
2022
)
4
,
pp. 4660-4683
Persistent link: https://www.econbiz.de/10013461371
Saved in:
9
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
10
Fast and accurate variational inference for models with many latent variables
Loiza-Maya, Ruben
;
Smith, Michael S.
;
Nott, David J.
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 339-362
Persistent link: https://www.econbiz.de/10013463884
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