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Search: subject:"Stochastic Volatility Model"
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Volatilität
136
Volatility
133
Stochastic volatility
128
Stochastische Volatilität
128
Stochastic process
125
Stochastischer Prozess
125
Option pricing theory
84
Optionspreistheorie
84
Theorie
75
Theory
75
Stochastic volatility model
66
stochastic volatility model
41
Monte Carlo simulation
37
Monte-Carlo-Simulation
37
Prognoseverfahren
37
Forecasting model
35
Estimation
32
ARCH model
31
ARCH-Modell
31
Schätzung
31
Bayesian inference
26
Bayes-Statistik
24
Zeitreihenanalyse
22
Time series analysis
21
Derivat
20
Derivative
20
Estimation theory
19
Markov chain
19
Option trading
19
Optionsgeschäft
19
Schätztheorie
19
USA
19
United States
19
Welt
19
World
19
Markov-Kette
18
Exchange rate
17
VAR model
17
VAR-Modell
17
Wechselkurs
17
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Free
143
Undetermined
119
CC license
4
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Article
182
Book / Working Paper
144
Other
2
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Article in journal
131
Aufsatz in Zeitschrift
131
Working Paper
74
Graue Literatur
72
Non-commercial literature
72
Arbeitspapier
63
Hochschulschrift
11
Article
8
Aufsatz im Buch
6
Book section
6
Thesis
5
Collection of articles written by one author
4
Sammlung
4
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2
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2
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2
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1
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1
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Language
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English
266
Undetermined
59
German
3
Author
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Clark, Todd E.
15
Huber, Florian
14
McAleer, Michael
14
Asai, Manabu
11
Koopman, Siem Jan
11
Jungbacker, Borus
10
Kaufmann, Daniel
10
Mertens, Elmar
9
Escobar, Marcos
8
McCracken, Michael W.
8
Carriero, Andrea
7
Marcellino, Massimiliano
7
Aastveit, Knut Are
6
Kobayashi, Masahito
6
Peiris, Shelton
6
Xu, Dinghai
6
Chang, Chia-Lin
5
Chiarella, Carl
5
Neto, David
5
Sardy, Sylvain
5
Takahashi, Akihiko
5
Alòs, Elisa
4
Chan, Jiun Hong
4
Crespo Cuaresma, Jesús
4
Hol, Eugenie
4
Joshi, Mark S.
4
Li, Minqiang
4
Platen, Eckhard
4
Spokoiny, Vladimir G.
4
Baldeaux, Jan
3
Breitung, Jörg
3
Chan, Leunglung
3
Chen, Jinghui
3
Chen, Jun-Home
3
Cheng, Yuyang
3
Chiba, Masaru
3
Doppelhofer, Gernot
3
Feldkircher, Martin
3
Funahashi, Hideharu
3
Grasselli, Martino
3
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Institution
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Society for Computational Economics - SCE
3
Tinbergen Institute
3
Tinbergen Instituut
3
Université Paris-Dauphine (Paris IX)
3
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
3
Econometric Society
2
Institut d'Economie et Econométrie, Université de Genève
2
School of Economics and Management, University of Aarhus
2
Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
2
Birkbeck, Department of Economics, Mathematics & Statistics
1
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
1
Department of Economics and Business, Universitat Pompeu Fabra
1
Department of Economics, University of Victoria
1
Department of Economics, University of Waterloo
1
EconWPA
1
EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X)
1
HAL
1
Hong Kong Institute for Monetary Research (HKIMR), Government of Hong Kong
1
Institute for Monetary and Economic Studies, Bank of Japan
1
KOF Swiss Economic Institute, Department of Management, Technology and Economics (D-MTEC)
1
National Bureau of Economic Research
1
Technische Universität Dresden
1
Universität Trier
1
Université Paris-Dauphine
1
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Published in...
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International journal of theoretical and applied finance
19
The journal of futures markets
11
Quantitative finance
8
Discussion paper / Tinbergen Institute
7
Department of Economics working paper
6
Econometric Institute research papers
6
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
6
Tinbergen Institute Discussion Papers
6
International journal of financial engineering
5
Discussion paper / Centre for Economic Policy Research
4
European journal of operational research : EJOR
4
International Journal of Theoretical and Applied Finance (IJTAF)
4
Journal of Risk and Financial Management
4
Journal of econometrics
4
Journal of risk and financial management : JRFM
4
CORE discussion papers : DP
3
Computational Statistics & Data Analysis
3
Discussion Paper
3
Economics Papers from University Paris Dauphine
3
Federal Reserve Bank of Cleveland working paper series
3
Finance and Stochastics
3
Finance research letters
3
Journal of mathematical finance
3
Journal of risk
3
MPRA Paper
3
Review of Derivatives Research
3
Tinbergen Institute Discussion Paper
3
Working paper
3
Applied Econometrics
2
CESifo working papers
2
CREATES Research Papers
2
Cahiers du Département d'Econométrie
2
Economic modelling
2
Energy economics
2
European Journal of Operational Research
2
Financial Innovation
2
Financial innovation : FIN
2
IMA journal of management mathematics
2
Insurance / Mathematics & economics
2
Insurance: Mathematics and Economics
2
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Source
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ECONIS (ZBW)
233
RePEc
72
EconStor
19
BASE
4
Showing
141
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328
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141
GMM estimation of a
stochastic
volatility
model
with realized volatility: a Monte Carlo study
Chaussé, Pierre
;
Xu, Dinghai
-
2012
Persistent link: https://www.econbiz.de/10009612401
Saved in:
142
Modeling and forecasting asset volatility
Bekierman, Jeremias
-
2017
Persistent link: https://www.econbiz.de/10011861477
Saved in:
143
Have standard VARS remained stable since the crisis?
Aastveit, Knut Are
;
Carriero, Andrea
;
Clark, Todd E.
; …
- In:
Journal of applied econometrics
32
(
2017
)
5
,
pp. 931-951
Persistent link: https://www.econbiz.de/10011862290
Saved in:
144
Realized stochastic volatility with general asymmetry and long memory
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
199
(
2017
)
2
,
pp. 202-213
Persistent link: https://www.econbiz.de/10011897674
Saved in:
145
Structural breaks in Taylor rule based exchange rate models : evidence from threshold time varying parameter models
Huber, Florian
- In:
Economics letters
150
(
2017
),
pp. 48-52
Persistent link: https://www.econbiz.de/10011762629
Saved in:
146
A class of nonzero-sum investment and reinsurance games subject to systematic risks
Siu, Chi Chung
;
Yam, Sheung Chi Phillip
;
Yang, Hailiang
; …
- In:
Scandinavian actuarial journal
(
2017
)
8
,
pp. 670-707
Persistent link: https://www.econbiz.de/10011848596
Saved in:
147
A unified tree approach for options pricing under stochastic volatility models
Lo, C. C.
;
Nguyen, Duy
;
Skindilias, K.
- In:
Finance research letters
20
(
2017
),
pp. 260-268
Persistent link: https://www.econbiz.de/10011806944
Saved in:
148
Estimating general equilibrium models with stochastic volatility and changing parameters
Higgins, C. Richard
- In:
Economic modelling
66
(
2017
),
pp. 163-170
Persistent link: https://www.econbiz.de/10011813705
Saved in:
149
Measurement errors and monetary policy : then and now
Amir Ahmadi, Pooyan
;
Matthes, Christian
;
Wang, Mu-Chun
- In:
Journal of economic dynamics & control
79
(
2017
),
pp. 66-78
Persistent link: https://www.econbiz.de/10011817602
Saved in:
150
Financial markets with no riskless (safe) asset
Račev, Svetlozar T.
;
Stoyanov, Stoyan V.
;
Fabozzi, Frank J.
- In:
International journal of theoretical and applied finance
20
(
2017
)
8
,
pp. 1-24
Persistent link: https://www.econbiz.de/10011787424
Saved in:
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