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~subject:"Derivat"
~subject:"VAR-Modell"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject:"Stochastic Volatility"
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Derivat
VAR-Modell
Volatility
903
Volatilität
903
Stochastic process
825
Stochastischer Prozess
825
Option pricing theory
446
Optionspreistheorie
446
Stochastic volatility
417
Theorie
291
Theory
291
Estimation
265
Schätzung
263
stochastic volatility
251
Time series analysis
140
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140
Bayes-Statistik
129
Bayesian inference
129
Capital income
110
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110
Markov chain
106
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106
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104
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104
Forecasting model
100
Prognoseverfahren
100
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94
ARCH-Modell
94
Option trading
91
Optionsgeschäft
91
Estimation theory
89
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89
VAR model
89
Börsenkurs
88
Share price
88
Portfolio selection
87
Portfolio-Management
87
Derivative
83
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82
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62
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18
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Article
172
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Aufsatz in Zeitschrift
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172
Graue Literatur
94
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94
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93
Arbeitspapier
85
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3
Aufsatz im Buch
2
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English
172
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Mumtaz, Haroon
9
Chan, Joshua
6
Poon, Aubrey
6
Escobar, Marcos
5
Carriero, Andrea
4
Clark, Todd E.
4
Cross, Jamie
4
Gupta, Rangan
4
Huber, Florian
4
Karlsson, Sune
4
Koop, Gary
4
Marcellino, Massimiliano
4
Österholm, Pär
4
Chiarella, Carl
3
Cui, Zhenyu
3
Hou, Chenghan
3
Rodriguez, Gabriel
3
Theodoridis, Konstantinos
3
Zhang, Jin E.
3
Alessandri, Piergiorgio
2
Baldeaux, Jan
2
Bognanni, Mark
2
Ferrando, Sebastian
2
Funahashi, Hideharu
2
Gefang, Deborah
2
Keating, John William
2
Kim, Sol
2
Kwok, Yue-Kuen
2
Li, Danping
2
Li, Huachen
2
Lin, Wei
2
Lin, Yueh-neng
2
Lorig, Matthew
2
Mazur, Stepan
2
Nguyen, Hoang
2
Nikitopoulos, Christina Sklibosios
2
Pellegrino, Tommaso
2
Pfarrhofer, Michael
2
Rubtsov, Alexey
2
Schmeck, Maren Diane
2
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Journal of econometrics
11
International journal of theoretical and applied finance
9
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
8
Journal of economic dynamics & control
8
Economics letters
7
Energy economics
7
Review of derivatives research
6
Applied economics letters
5
European journal of operational research : EJOR
5
International journal of forecasting
5
Journal of applied econometrics
4
Journal of money, credit and banking : JMCB
4
Macroeconomic dynamics
4
Applied mathematical finance
3
Econometrics : open access journal
3
Finance research letters
3
International journal of financial engineering
3
Journal of banking & finance
3
Journal of forecasting
3
Journal of mathematical finance
3
Mathematical finance : an international journal of mathematics, statistics and financial economics
3
The North American journal of economics and finance : a journal of financial economics studies
3
The journal of futures markets
3
Asia-Pacific journal of financial studies
2
Economic modelling
2
Insurance / Mathematics & economics
2
International review of economics & finance : IREF
2
Journal of financial economics
2
Journal of monetary economics
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
Quantitative finance
2
Review of world economics
2
The journal of computational finance
2
Annual review of financial economics
1
Applied economics
1
Bulletin of economic research
1
Central Bank review / The Central Bank of the Republic of Turkey
1
Central European journal of economic modelling and econometrics
1
Computational economics
1
Economics, management and financial markets
1
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ECONIS (ZBW)
172
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91
Time-varying impact of uncertainty shocks on the US housing market
Christou, Christina
;
Gupta, Rangan
;
Nyakabawo, Wendy
- In:
Economics letters
180
(
2019
),
pp. 15-20
Persistent link: https://www.econbiz.de/10012121736
Saved in:
92
Wavelet-based option pricing : an empirical study
Liu, Xiaoquan
;
Cao, Yi
;
Ma, Chenghu
;
Shen, Liya
- In:
European journal of operational research : EJOR
272
(
2019
)
3
,
pp. 1132-1142
Persistent link: https://www.econbiz.de/10011942861
Saved in:
93
Adaptive shrinkage in Bayesian vector autoregressive models
Huber, Florian
;
Feldkircher, Martin
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
1
,
pp. 27-39
Persistent link: https://www.econbiz.de/10012175868
Saved in:
94
The dynamic relationships among CO2 emissions, renewable and non-renewable energy sources, and economic growth in India : evidence from time-varying Bayesian VAR model
Kang, Sang Hoon
;
Islam, Faridul
;
Tiwari, Aviral Kumar
- In:
Structural change and economic dynamics : SC+ED
50
(
2019
),
pp. 90-101
Persistent link: https://www.econbiz.de/10012299640
Saved in:
95
Pricing VIX derivatives with free
stochastic
volatility
model
Lin, Wei
;
Li, Shenghong
;
Chern, Shane
;
Zhang, Jin E.
- In:
Review of derivatives research
22
(
2019
)
1
,
pp. 41-75
Persistent link: https://www.econbiz.de/10012311659
Saved in:
96
Barndorff-Nielsen and Shephard model : oil hedging with variance swap and option
SenGupta, Indranil
;
Wilson, William W.
;
Nganje, William
- In:
Mathematics and financial economics
13
(
2019
)
2
,
pp. 209-226
Persistent link: https://www.econbiz.de/10012055793
Saved in:
97
Derivatives trading for insurers
Xue, Xiaole
;
Wei, Pengyu
;
Weng, Chengguo
- In:
Insurance / Mathematics & economics
84
(
2019
),
pp. 40-53
Persistent link: https://www.econbiz.de/10011990431
Saved in:
98
Embedding stochastic correlation into the pricing of FX quanto options under
stochastic
volatility
models
Pellegrino, Tommaso
- In:
Journal of mathematical finance
9
(
2019
)
3
,
pp. 455-493
Persistent link: https://www.econbiz.de/10012210363
Saved in:
99
Financial regimes and uncertainty shocks
Alessandri, Piergiorgio
;
Mumtaz, Haroon
- In:
Journal of monetary economics
101
(
2019
),
pp. 31-46
Persistent link: https://www.econbiz.de/10012264750
Saved in:
100
A generalised
stochastic
volatility
in mean VAR
Mumtaz, Haroon
- In:
Economics letters
173
(
2018
),
pp. 10-14
Persistent link: https://www.econbiz.de/10012022862
Saved in:
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