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Search: subject:"Stochastic volatility."
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Volatilität
1,346
Volatility
1,305
Stochastischer Prozess
1,126
Stochastic process
1,094
Stochastic volatility
1,009
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
236
Monte-Carlo-Simulation
214
Prognoseverfahren
211
Stochastic Volatility
210
VAR-Modell
203
Forecasting model
202
Schätztheorie
196
VAR model
196
Estimation theory
192
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
1,324
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1,133
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54
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1,537
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1,274
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10
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1,020
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523
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343
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318
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55
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18
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8
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5
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1,938
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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
41
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)
1,420
RePEc
1,096
EconStor
266
BASE
30
Other ZBW resources
9
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371
Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under
stochastic
volatility
and Lévy jumps
Zhang, Weinan
;
Zeng, Pingping
;
Kwok, Yue-Kuen
- In:
Operations research letters
51
(
2023
)
6
,
pp. 687-694
Persistent link: https://www.econbiz.de/10014465892
Saved in:
372
The response of gold to the COVID-19 pandemic
Lu, Zhaoying
;
Tanizaki, Hisashi
- In:
Studies in economics and finance
40
(
2023
)
5
,
pp. 859-877
Persistent link: https://www.econbiz.de/10014467160
Saved in:
373
Bettors' reaction to match dynamics : evidence from in-game betting
Michels, Rouven
;
Ötting, Marius
;
Langrock, Roland
- In:
European journal of operational research : EJOR
310
(
2023
)
3
,
pp. 1118-1127
Persistent link: https://www.econbiz.de/10014471117
Saved in:
374
Comparing
stochastic
volatility
specifications for large Bayesian VARs
Chan, Joshua
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1419-1446
Persistent link: https://www.econbiz.de/10014471398
Saved in:
375
Robust optimal reinsurance-investment for αmaxmin mean-variance utility under Heston's SV model
Chen, Dengsheng
;
He, Yong
;
Li, Ziqiang
- In:
The North American journal of economics and finance : a …
67
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014484002
Saved in:
376
Measuring stock market uncertainty
Dakey, Prasad Teja
- In:
Theoretical and applied economics : GAER review
30
(
2023
)
2/635
,
pp. 199-162
Persistent link: https://www.econbiz.de/10014485211
Saved in:
377
A hybrid
stochastic
volatility
model in a Lévy market
El-Khatib, Youssef
;
Goutte, Stéphane
;
Makumbe, Zororo S.
; …
- In:
International review of economics & finance : IREF
85
(
2023
),
pp. 220-235
Persistent link: https://www.econbiz.de/10014424191
Saved in:
378
Effective stochastic local volatility models
Felpel, Mike
;
Kienitz, Jörg
;
McWalter, Thomas A.
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1731-1750
Persistent link: https://www.econbiz.de/10014452467
Saved in:
379
Mind the cap!-constrained portfolio optimisation in Heston's
stochastic
volatility
model
Escobar, Marcos
;
Kschonnek, M.
;
Zagst, Rudi
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1793-1813
Persistent link: https://www.econbiz.de/10014452471
Saved in:
380
Refined analysis of the no-butterfly-arbitrage domain for SSVI slices
Martini, Claude
;
Mingone, Arianna
- In:
The journal of computational finance : JFC
27
(
2023
)
2
,
pp. 1-32
Persistent link: https://www.econbiz.de/10014486951
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