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Search: subject:"Stochastic volatility."
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Volatilität
1,347
Volatility
1,306
Stochastischer Prozess
1,127
Stochastic process
1,095
Stochastic volatility
1,010
stochastic volatility
982
Optionspreistheorie
545
Option pricing theory
538
Theorie
509
Theory
475
Schätzung
409
Estimation
404
Zeitreihenanalyse
263
Time series analysis
252
Bayesian inference
249
Bayes-Statistik
239
Monte Carlo simulation
237
Monte-Carlo-Simulation
215
Prognoseverfahren
211
Stochastic Volatility
210
VAR-Modell
203
Forecasting model
202
Schätztheorie
197
VAR model
196
Estimation theory
193
ARCH-Modell
188
Markov chain
181
ARCH model
179
Markov-Kette
177
Derivat
154
Derivative
153
Optionsgeschäft
151
Option trading
149
Risiko
136
Risk
136
Stochastische Volatilität
130
Kapitaleinkommen
113
Capital income
110
Portfolio selection
109
Portfolio-Management
109
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Free
1,325
Undetermined
1,133
CC license
54
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1,537
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1,275
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10
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1,020
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1,020
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524
Graue Literatur
344
Non-commercial literature
344
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319
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55
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18
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18
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17
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16
research-article
8
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5
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4
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4
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1,939
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868
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6
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McAleer, Michael
73
Asai, Manabu
54
Koopman, Siem Jan
53
Mumtaz, Haroon
51
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
Chiarella, Carl
23
Platen, Eckhard
23
Rodriguez, Gabriel
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
Poon, Aubrey
14
Shin, Minchul
14
Martin, Gael M.
13
Nguyen, Hoang
13
Omori, Yasuhiro
13
Caporin, Massimiliano
12
Chang, Chia-Lin
12
Cross, Jamie
12
Hautsch, Nikolaus
12
Hou, Chenghan
12
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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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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
CREATES Research Papers
44
Journal of econometrics
43
Quantitative finance
43
Discussion paper / Tinbergen Institute
42
MPRA Paper
39
Tinbergen Institute Discussion Paper
37
Quantitative Finance
29
Journal of economic dynamics & control
28
Finance and Stochastics
27
Finance research letters
26
Working paper
26
Physica A: Statistical Mechanics and its Applications
25
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
24
Applied Mathematical Finance
23
Applied mathematical finance
22
CAMA working paper series
22
Energy economics
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
The journal of futures markets
19
ECB Working Paper
18
European journal of operational research : EJOR
18
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
Journal of mathematical finance
16
Journal of risk and financial management : JRFM
16
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
16
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ECONIS (ZBW)
1,421
RePEc
1,096
EconStor
266
BASE
30
Other ZBW resources
9
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991
Variance stochastic orders
Gollier, Christian
- In:
Journal of mathematical economics
80
(
2019
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012105651
Saved in:
992
Variance swaps with double exponential Ornstein-Uhlenbeck
stochastic
volatility
Kim, See-Woo
;
Kim, Jeong-Hoon
- In:
The North American journal of economics and finance : a …
48
(
2019
),
pp. 149-169
Persistent link: https://www.econbiz.de/10012120223
Saved in:
993
CVA for Cliquet options under Heston model
Feng, Yaqin
;
Wang, Min
;
Zhang, Yuanqing
- In:
The North American journal of economics and finance : a …
48
(
2019
),
pp. 272-282
Persistent link: https://www.econbiz.de/10012120248
Saved in:
994
Maximum likelihood estimation of a TVP-VAR
Moura, Guilherme Valle
;
Noriller, Mateus R.
- In:
Economics letters
174
(
2019
),
pp. 78-83
Persistent link: https://www.econbiz.de/10012121029
Saved in:
995
Time-varying impact of uncertainty shocks on the US housing market
Christou, Christina
;
Gupta, Rangan
;
Nyakabawo, Wendy
- In:
Economics letters
180
(
2019
),
pp. 15-20
Persistent link: https://www.econbiz.de/10012121736
Saved in:
996
A general framework for pricing Asian options under
stochastic
volatility
on parallel architecture
Corsaro, Stefania
;
Kyriakou, Ioannis
;
Marazzina, Daniele
; …
- In:
European journal of operational research : EJOR
272
(
2019
)
3
,
pp. 1082-1095
Persistent link: https://www.econbiz.de/10011942796
Saved in:
997
Wavelet-based option pricing : an empirical study
Liu, Xiaoquan
;
Cao, Yi
;
Ma, Chenghu
;
Shen, Liya
- In:
European journal of operational research : EJOR
272
(
2019
)
3
,
pp. 1132-1142
Persistent link: https://www.econbiz.de/10011942861
Saved in:
998
Assessing international commonality in macroeconomic uncertainty and its effects
Marcellino, Massimiliano
;
Clark, Todd E.
;
Carriero, Andrea
-
2019
Persistent link: https://www.econbiz.de/10012194110
Saved in:
999
Incorporating realized quarticity into a realized
stochastic
volatility
model
Nugroho, Didit B.
;
Morimoto, Takayuki
- In:
Asia-Pacific financial markets
26
(
2019
)
4
,
pp. 495-528
Persistent link: https://www.econbiz.de/10012309817
Saved in:
1000
Pricing VIX derivatives with free
stochastic
volatility
model
Lin, Wei
;
Li, Shenghong
;
Chern, Shane
;
Zhang, Jin E.
- In:
Review of derivatives research
22
(
2019
)
1
,
pp. 41-75
Persistent link: https://www.econbiz.de/10012311659
Saved in:
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