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Search: subject:"Factor stochastic volatility"
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Volatility
20
Volatilität
20
Stochastic process
16
Stochastischer Prozess
16
Theorie
10
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10
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10
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Factor stochastic volatility
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5
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factor stochastic volatility
5
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Option pricing theory
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vector autoregressive models
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Factor stochastic volatility model
3
G7 countries
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Huber, Florian
7
Pfarrhofer, Michael
6
Crespo Cuaresma, Jesús
4
Onorante, Luca
4
Böck, Maximilian
3
Hauzenberger, Niko
3
Stelzer, Anna
3
Zens, Gregor
3
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2
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1
Chung, Shing Fung
1
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1
Geman, Helyette
1
Geman, Hélyette
1
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1
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1
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1
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1
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1
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1
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1
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Birkbeck, Department of Economics, Mathematics & Statistics
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ECONIS (ZBW)
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3
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11
Dealing with heterogeneity in panel VARs using sparse finite mixtures
Huber, Florian
-
2018
Persistent link: https://www.econbiz.de/10011871455
Saved in:
12
Implications of macroeconomic volatility in the Euro area
Hauzenberger, Niko
;
Böck, Maximilian
;
Pfarrhofer, Michael
-
2018
Persistent link: https://www.econbiz.de/10011871462
Saved in:
13
Implications of macroeconomic volatility in the Euro area
Hauzenberger, Niko
;
Böck, Maximilian
;
Pfarrhofer, Michael
-
2018
In this paper we estimate a Bayesian vector autoregressive model with
factor
stochastic
volatility
in the error term to …
Persistent link: https://www.econbiz.de/10011978764
Saved in:
14
The macroeconomic effects of international uncertainty shocks
Crespo Cuaresma, Jesús
;
Huber, Florian
;
Onorante, Luca
-
2017
Persistent link: https://www.econbiz.de/10011632578
Saved in:
15
Understanding the drivers of capital flows into the CESEE countries
Eller, Markus
;
Huber, Florian
;
Schuberth, Helene
- In:
Focus on European economic integration
(
2016
)
2
,
pp. 79-104
Persistent link: https://www.econbiz.de/10011672408
Saved in:
16
Correlations among cryptocurrencies : evidence from multivariate
factor
stochastic
volatility
model
Shi, Yongjing
;
Tiwari, Aviral Kumar
;
Gozgor, Giray
;
Lu, Zhou
- In:
Research in international business and finance
53
(
2020
),
pp. 1-11
Persistent link: https://www.econbiz.de/10012549821
Saved in:
17
Fragility and the effect of international uncertainty shocks
Crespo Cuaresma, Jesús
;
Huber, Florian
;
Onorante, Luca
- In:
Journal of international money and finance
108
(
2020
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012403810
Saved in:
18
Stochastic volatility Libor modeling and efficient algorithms for optimal stopping problems
Ladkau, Marcel
-
2015
Persistent link: https://www.econbiz.de/10012385011
Saved in:
19
Sparse Bayesian time-varying covariance estimation in many dimensions
Kastner, Gregor
- In:
Journal of econometrics
210
(
2019
)
1
,
pp. 98-115
Persistent link: https://www.econbiz.de/10012303382
Saved in:
20
Macroeconomic uncertainty through the lens of professional forecasters
Jo, Soojin
;
Sekkel, Rodrigo
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
3
,
pp. 436-446
Persistent link: https://www.econbiz.de/10012178186
Saved in:
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