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  • Search: subject:"Stochastic Volatility"
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Year of publication
Subject
All
Volatilität 1,428 Volatility 1,387 Stochastischer Prozess 1,189 Stochastic process 1,157 Stochastic volatility 1,048 stochastic volatility 1,007 Optionspreistheorie 576 Option pricing theory 569 Theorie 542 Theory 508 Schätzung 437 Estimation 433 Zeitreihenanalyse 274 Bayesian inference 263 Time series analysis 263 Bayes-Statistik 253 Monte Carlo simulation 250 Monte-Carlo-Simulation 228 Prognoseverfahren 222 Stochastic Volatility 220 VAR-Modell 216 Forecasting model 213 VAR model 209 Schätztheorie 208 Estimation theory 204 ARCH-Modell 192 Markov chain 189 Markov-Kette 185 ARCH model 183 Derivat 163 Derivative 162 Optionsgeschäft 160 Option trading 158 Risiko 149 Risk 149 Stochastische Volatilität 134 Kapitaleinkommen 117 Portfolio selection 116 Portfolio-Management 116 Capital income 114
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Online availability
All
Free 1,376 Undetermined 1,185 CC license 57
Type of publication
All
Article 1,610 Book / Working Paper 1,301 Other 10
Type of publication (narrower categories)
All
Article in journal 1,086 Aufsatz in Zeitschrift 1,086 Working Paper 550 Graue Literatur 365 Non-commercial literature 365 Arbeitspapier 340 Article 61 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 2,038 Undetermined 867 French 7 German 5 Spanish 3 Romanian 1
Author
All
McAleer, Michael 73 Asai, Manabu 54 Mumtaz, Haroon 54 Koopman, Siem Jan 53 Shephard, Neil 48 Bos, Charles S. 41 Clark, Todd E. 40 Huber, Florian 37 Carriero, Andrea 29 Marcellino, Massimiliano 29 Todorov, Viktor 28 Rodriguez, Gabriel 27 Barndorff-Nielsen, Ole E. 26 Chiarella, Carl 23 Platen, Eckhard 23 Escobar, Marcos 22 Alòs, Elisa 21 Karlsson, Sune 20 Mertens, Elmar 20 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
All
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 52 International Journal of Theoretical and Applied Finance (IJTAF) 50 Tinbergen Institute Discussion Papers 50 Quantitative finance 48 Journal of econometrics 45 CREATES Research Papers 44 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 Journal of economic dynamics & control 29 Quantitative Finance 29 Finance and Stochastics 28 Finance research letters 28 Working paper 28 Energy economics 25 Physica A: Statistical Mechanics and its Applications 25 Applied Mathematical Finance 23 Applied mathematical finance 23 Computational economics 23 CAMA working paper series 22 The journal of futures markets 22 CIRANO Working Papers 21 Research Paper Series / Finance Discipline Group, Business School 21 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 Risks : open access journal 17 The North American journal of economics and finance : a journal of financial economics studies 17 CEPR Discussion Papers 16
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Source
All
ECONIS (ZBW) 1,510 RePEc 1,096 EconStor 277 BASE 30 Other ZBW resources 8
Showing 1 - 10 of 2,921
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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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The dynamic interplay between inflation, economic policy uncertainty, and economic resilience in emerging markets : a time-varying parameter stochastic volatility vector autoregres...
Barguellil, Achouak - In: International Journal of Energy Economics and Policy : IJEEP 16 (2026) 2, pp. 608-617
Persistent link: https://www.econbiz.de/10015620224
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Broken symmetry of stock returns : a modified Jones-Faddy skew t-distribution
Shao, Siqi; Ghasemi, Arshia; Farahani, Hamed; Serota, … - In: Economies : open access journal 14 (2026) 3, pp. 1-15
symmetry of stochastic volatility governing gains and losses. Starting with stochastic differential equations for stock returns … and for stochastic volatility, we argue that the distribution of stock returns can be effectively split in two-for gains …
Persistent link: https://www.econbiz.de/10015628697
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Optimal consumption and portfolio choice with no-borrowing constraint in the Kim-Omberg model
Ferrari, Giorgio; Schütz, Tim Niclas - 2026
auxiliary two-dimensional optimal stopping problem featuring stochastic volatility, and subsequently retrieve the primal value …
Persistent link: https://www.econbiz.de/10015609775
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Estimation and inference for stochastic volatility models with heavy-tailed distributions
Rodriguez Rondon, Gabriel; Dufour, Jean-Marie; Ahsan, Nazmul - 2026 - Last updated: March 6, 2026
Statistical inference-both estimation and testing-for stochastic volatility (SV) models is known to be challenging and …
Persistent link: https://www.econbiz.de/10015612285
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Structural drivers of growth at risk : insights from a VAR-quantile regression approach
Carboni, Giacomo; Fonseca, Luís; Fornari, Fabio; … - 2026
We investigate the impact of structural shocks on the joint distribution of future real GDP growth and inflation in the euro area. We model the conditional mean of these variables, along with selected financial indicators, using a VAR and perform quantile regressions on the VAR residuals to...
Persistent link: https://www.econbiz.de/10015592539
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Risk in a data-rich model
Caldara, Dario; Mumtaz, Haroon; Zhong, Molin - 2026
factor model with stochastic volatility. The model unifies growth-at-risk, inflation-at-risk, and sectoral heterogeneity …
Persistent link: https://www.econbiz.de/10015637333
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Risk in a data-rich model
Caldara, Dario; Mumtaz, Haroon; Zhong, Molin - 2026
Persistent link: https://www.econbiz.de/10015639198
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Evaluating the self-defeating fiscal austerity hypothesis for a dollarized economy: the Peruvian case
Mancilla Marquina, Luis; Rodriguez, Gabriel - 2026
Persistent link: https://www.econbiz.de/10015638654
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