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  • Search: subject:"Stochastic Volatility"
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Year of publication
Subject
All
Volatilität 1,390 Volatility 1,349 Stochastischer Prozess 1,160 Stochastic process 1,128 Stochastic volatility 1,028 stochastic volatility 999 Optionspreistheorie 564 Option pricing theory 557 Theorie 525 Theory 491 Schätzung 421 Estimation 416 Zeitreihenanalyse 269 Time series analysis 258 Bayesian inference 257 Bayes-Statistik 247 Monte Carlo simulation 245 Monte-Carlo-Simulation 223 Prognoseverfahren 217 Stochastic Volatility 212 Forecasting model 208 VAR-Modell 208 Schätztheorie 201 VAR model 201 Estimation theory 197 ARCH-Modell 191 Markov chain 185 ARCH model 182 Markov-Kette 181 Derivat 158 Derivative 157 Optionsgeschäft 154 Option trading 152 Risiko 140 Risk 140 Stochastische Volatilität 130 Kapitaleinkommen 114 Portfolio selection 113 Portfolio-Management 113 Capital income 111
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Online availability
All
Free 1,338 Undetermined 1,163 CC license 54
Type of publication
All
Article 1,580 Book / Working Paper 1,285 Other 10
Type of publication (narrower categories)
All
Article in journal 1,058 Aufsatz in Zeitschrift 1,058 Working Paper 534 Graue Literatur 350 Non-commercial literature 350 Arbeitspapier 325 Article 58 Aufsatz im Buch 20 Book section 20 Thesis 17 Hochschulschrift 16 research-article 8 Conference Paper 5 Collection of articles written by one author 4 Conference paper 4 Konferenzbeitrag 4 Sammlung 4 Aufsatzsammlung 3 Collection of articles of several authors 3 Sammelwerk 3 Konferenzschrift 1 Systematic review 1 Übersichtsarbeit 1
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Language
All
English 1,991 Undetermined 868 French 7 German 5 Spanish 3 Romanian 1
Author
All
McAleer, Michael 73 Asai, Manabu 54 Koopman, Siem Jan 53 Mumtaz, Haroon 52 Shephard, Neil 48 Bos, Charles S. 41 Clark, Todd E. 39 Huber, Florian 37 Carriero, Andrea 28 Marcellino, Massimiliano 28 Todorov, Viktor 28 Barndorff-Nielsen, Ole E. 26 Rodriguez, Gabriel 25 Chiarella, Carl 23 Platen, Eckhard 23 Escobar, Marcos 22 Karlsson, Sune 20 Mertens, Elmar 20 Alòs, Elisa 19 Nakajima, Jouchi 18 Theodoridis, Konstantinos 18 Österholm, Pär 18 Branger, Nicole 17 Tauchen, George 17 Bollerslev, Tim 16 Chan, Joshua 16 Ravazzolo, Francesco 16 Lord, Roger 15 Benati, Luca 14 Gupta, Rangan 14 Martin, Gael M. 14 Poon, Aubrey 14 Shin, Minchul 14 Hou, Chenghan 13 Koop, Gary 13 Nguyen, Hoang 13 Omori, Yasuhiro 13 Caporin, Massimiliano 12 Chang, Chia-Lin 12 Cross, Jamie 12
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Institution
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School of Economics and Management, University of Aarhus 44 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 39 Tinbergen Instituut 28 Finance Discipline Group, Business School 22 Tinbergen Institute 22 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 21 Department of Economics, Oxford University 20 Economics Group, Nuffield College, University of Oxford 17 Society for Computational Economics - SCE 17 C.E.P.R. Discussion Papers 16 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 14 EconWPA 13 Econometric Society 13 HAL 12 European Central Bank 11 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 10 Henley Business School, University of Reading 9 Duke University, Department of Economics 8 London School of Economics (LSE) 8 School of Economics and Finance, Queen Mary 8 Department of Econometrics and Business Statistics, Monash Business School 7 Department of Economics and Business, Universitat Pompeu Fabra 7 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 7 Suntory and Toyota International Centres for Economics and Related Disciplines, LSE 7 Université Paris-Dauphine (Paris IX) 7 Bank of England 6 Department of Economics and Finance, College of Business and Economics 6 Department of Economics, University of Pennsylvania 6 Département de Sciences Économiques, Université de Montréal 6 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 6 Institute for Monetary and Economic Studies, Bank of Japan 6 Institute of Economic Research, Hitotsubashi University 6 University of Bonn, Germany 6 Erasmus University Rotterdam, Econometric Institute 5 Institute of Economic Research, Kyoto University 5 Anderson Graduate School of Management, University of California-Los Angeles (UCLA) 4 Bank for International Settlements (BIS) 4 Departamento de Estadistica, Universidad Carlos III de Madrid 4 Grupo de Estudos Monetários e Financeiros (GEMF), Faculdade de Economia 4 Institut für Weltwirtschaft (IfW) 4
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Published in...
All
International journal of theoretical and applied finance 65 Working Paper 51 International Journal of Theoretical and Applied Finance (IJTAF) 50 Tinbergen Institute Discussion Papers 50 Quantitative finance 48 CREATES Research Papers 44 Journal of econometrics 43 Discussion paper / Tinbergen Institute 42 MPRA Paper 39 Tinbergen Institute Discussion Paper 38 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 30 Quantitative Finance 29 Finance and Stochastics 28 Finance research letters 28 Journal of economic dynamics & control 28 Working paper 26 Physica A: Statistical Mechanics and its Applications 25 Applied Mathematical Finance 23 Applied mathematical finance 23 CAMA working paper series 22 Energy economics 22 The journal of futures markets 22 CIRANO Working Papers 21 Research Paper Series / Finance Discipline Group, Business School 21 Computational economics 20 Economics Series Working Papers / Department of Economics, Oxford University 20 Economics letters 20 Journal of banking & finance 20 The journal of computational finance 19 ECB Working Paper 18 European journal of operational research : EJOR 18 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 18 Economic modelling 17 Economics Papers / Economics Group, Nuffield College, University of Oxford 17 Finance and stochastics 17 Journal of Risk and Financial Management 17 Review of Derivatives Research 17 The North American journal of economics and finance : a journal of financial economics studies 17 CEPR Discussion Papers 16 International journal of financial engineering 16
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Source
All
ECONIS (ZBW) 1,467 RePEc 1,096 EconStor 273 BASE 30 Other ZBW resources 9
Showing 1 - 10 of 2,875
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Robustness of Hilbert space-valued stochastic volatility models
Benth, Fred Espen; Eyjolfsson, Heidar - In: Finance and stochastics 28 (2024) 4, pp. 1117-1146
Persistent link: https://www.econbiz.de/10015130556
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Signal extraction by the extremum Monte Carlo method
Moussa, Karim - 2024
Persistent link: https://www.econbiz.de/10014512213
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World GDP, anthropogenic emissions, and global temperatures, sea level, and ice cover
Benati, Luca - 2025
I use Bayesian VARs with stochastic volatility to forecast global temperatures and sea level and ice cover in the …
Persistent link: https://www.econbiz.de/10015358801
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Unpacking trend inflation: Evidence from a factor correlated unobserved components model of sticky and flexible prices
Li, Mengheng; Mendieta-Munoz, Ivan - 2025
We propose a factor correlated unobserved components (FCUC) model to analyze the sticky and flexible components of U.S. inflation. The proposed FCUC framework estimates trend inflation and component cycles in a flexible stochastic environment with time-varying volatility, factor loadings, and...
Persistent link: https://www.econbiz.de/10015420313
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Simulation smoothing for state space models: An extremum Monte Carlo approach
Moussa, Karim - 2025
application based on a stochastic volatility model with stable errors highlights the flexibility of the approach. …
Persistent link: https://www.econbiz.de/10015432570
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Value-at-risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston’s model
Escobar-Anel, Marcos; Havrylenko, Yevhen; Zagst, Rudi - In: Annals of Operations Research 347 (2025) 3, pp. 1265-1309
incomplete financial market due to stochastic volatility. To derive the optimal investment strategy, we use the dynamic …
Persistent link: https://www.econbiz.de/10015436484
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Volatility estimation through stochastic processes : evidence from cryptocurrencies
Harasheh, Murad; Bouteska, Ahmed - In: The North American journal of economics and finance : a … 75 (2025) 2, pp. 1-12
Persistent link: https://www.econbiz.de/10015359903
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Investment opportunity strategy in a double-mean-reverting 4/2 stochastic volatility environment
Cao, Jiling; Kim, Jeong-Hoon; Liu, Wenqiang; Zhang, WenJun - In: The North American journal of economics and finance : a … 76 (2025), pp. 1-30
Persistent link: https://www.econbiz.de/10015372122
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Macroeconomic real-time forecasts of univariate models with flexible error structures
Trinh, Kelly; Zhang, Bo; Hou, Chenghan - In: Journal of forecasting 44 (2025) 1, pp. 59-78
Persistent link: https://www.econbiz.de/10015373952
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Appraising model complexity in option pricing
Cummins, Mark; Esposito, Francesco - In: The journal of futures markets 45 (2025) 5, pp. 455-472
Persistent link: https://www.econbiz.de/10015376680
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