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  • Search: subject:"Factor stochastic volatility"
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Year of publication
Subject
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Volatility 20 Volatilität 20 Stochastic process 16 Stochastischer Prozess 16 Theorie 10 Theory 10 VAR model 10 VAR-Modell 10 Bayes-Statistik 8 Bayesian inference 8 Factor stochastic volatility 7 Risiko 5 Risk 5 Schock 5 Shock 5 Welt 5 World 5 factor stochastic volatility 5 Business cycle 4 Financial crisis 4 Finanzkrise 4 Forecasting model 4 Konjunktur 4 Option pricing theory 4 Optionspreistheorie 4 Prognoseverfahren 4 State space model 4 Zustandsraummodell 4 vector autoregressive models 4 ARCH model 3 ARCH-Modell 3 Correlation 3 Economic crisis 3 Economic indicator 3 Estimation 3 Estimation theory 3 Factor stochastic volatility model 3 G7 countries 3 G7-Staaten 3 Impact assessment 3
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Online availability
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Free 17 Undetermined 8
Type of publication
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Article 14 Book / Working Paper 12
Type of publication (narrower categories)
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Article in journal 13 Aufsatz in Zeitschrift 13 Working Paper 10 Graue Literatur 8 Non-commercial literature 8 Arbeitspapier 7 Hochschulschrift 1
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Language
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English 24 Undetermined 2
Author
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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 Scheiber, Matthias 2 Byrne, Joseph P. 1 Chung, Shing Fung 1 Eller, Markus 1 Geman, Helyette 1 Geman, Hélyette 1 Ghanbari, Hamed 1 Gozgor, Giray 1 Han, Chuan-Hsiang 1 Jo, Soojin 1 Kastner, Gregor 1 Kinkyō, Takuji 1 Ladkau, Marcel 1 Lai, Yongzeng 1 Lu, Zhou 1 Pun, Chi Seng 1 Schneider, Lorenz 1 Schuberth, Helene 1 Sekkel, Rodrigo 1 Shi, Yongjing 1 Tavin, Bertrand 1 Tiwari, Aviral Kumar 1 Vitenu-Sackey, Prince Asare 1 Wong, Hoi Ying 1 Wu, Ping 1
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Institution
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Birkbeck, Department of Economics, Mathematics & Statistics 1
Published in...
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Department of Economics working paper 3 International journal of forecasting 2 Birkbeck Working Papers in Economics and Finance 1 Birkbeck working papers in economics and finance : BWPEF 1 ECB Working Paper 1 ESRB Working Paper Series 1 Environmental and resource economics 1 European journal of operational research : EJOR 1 Focus on European economic integration 1 Journal of banking & finance 1 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 1 Journal of econometrics 1 Journal of empirical finance 1 Journal of international money and finance 1 Macroeconomic dynamics 1 Mathematics and Computers in Simulation (MATCOM) 1 Research in international business and finance 1 The North American journal of economics and finance : a journal of financial economics studies 1 Working Papers in Economics 1 Working paper series 1 Working paper series / European Central Bank 1 Working papers in economics 1
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Source
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ECONIS (ZBW) 21 EconStor 3 RePEc 2
Showing 21 - 26 of 26
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Spot Price Modelling of Industrial Metals – An heterogeneous agent based model for Copper
Geman, Helyette; Scheiber, Matthias - Birkbeck, Department of Economics, Mathematics & Statistics - 2014
We will show in this paper the role of inventories in explaining copper price volatility. Using a three factor model we derive a fundamental long-term value for copper. Second, we emphasis the significance of this fundamental long-term value by considering an agent based model approach in which...
Persistent link: https://www.econbiz.de/10010886259
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Spot price modelling of industrial metals :an heterogeneous agent based model for copper
Geman, Hélyette; Scheiber, Matthias - 2014
Persistent link: https://www.econbiz.de/10010366820
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From the Samuelson volatility effect to a Samuelson correlation effect : an analysis of crude oil calendar spread options
Schneider, Lorenz; Tavin, Bertrand - In: Journal of banking & finance 95 (2018), pp. 185-202
Persistent link: https://www.econbiz.de/10011966746
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Density forecasting using Bayesian global vector autoregressions with stochastic volatility
Huber, Florian - In: International journal of forecasting 32 (2016) 3, pp. 818-837
Persistent link: https://www.econbiz.de/10011621824
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Variance swap with mean reversion, multifactor stochastic volatility and jumps
Pun, Chi Seng; Chung, Shing Fung; Wong, Hoi Ying - In: European journal of operational research : EJOR 245 (2015) 2, pp. 571-580
Persistent link: https://www.econbiz.de/10011308968
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A smooth estimator for MC/QMC methods in finance
Han, Chuan-Hsiang; Lai, Yongzeng - In: Mathematics and Computers in Simulation (MATCOM) 81 (2010) 3, pp. 536-550
efficiency. In examples of estimating European option prices under multi-factor stochastic volatility models, randomized QMC …
Persistent link: https://www.econbiz.de/10010750228
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