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  • Search: subject:"Stochastic volatility."
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Year of publication
Subject
All
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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Online availability
All
Free 1,324 Undetermined 1,133 CC license 54
Type of publication
All
Article 1,537 Book / Working Paper 1,274 Other 10
Type of publication (narrower categories)
All
Article in journal 1,020 Aufsatz in Zeitschrift 1,020 Working Paper 523 Graue Literatur 343 Non-commercial literature 343 Arbeitspapier 318 Article 55 Aufsatz im Buch 18 Book section 18 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
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English 1,938 Undetermined 868 French 6 German 5 Spanish 3 Romanian 1
Author
All
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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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 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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Source
All
ECONIS (ZBW) 1,420 RePEc 1,096 EconStor 266 BASE 30 Other ZBW resources 9
Showing 771 - 780 of 2,821
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The evolving transmission of uncertainty shocks in the United Kingdom
Mumtaz, Haroon - In: Econometrics : open access journal 4 (2016) 1, pp. 1-18
This paper investigates if the impact of uncertainty shocks on the U.K. economy has changed over time. To this end, we propose an extended time-varying VAR model that simultaneously allows the estimation of a measure of uncertainty and its time-varying impact on key macroeconomic and financial...
Persistent link: https://www.econbiz.de/10011505897
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Market microstructure effects on firm default risk evaluation
Barsotti, Flavia; Sanfelici, Simona - In: Econometrics : open access journal 4 (2016) 3, pp. 1-31
noise is considered. A general stochastic volatility framework with jumps for the underlying asset dynamics is defined …
Persistent link: https://www.econbiz.de/10011506497
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The Jacobi stochastic volatility model
Ackerer, Damien; Filipović, Damir; Pulido, Sergio - 2016
We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi …
Persistent link: https://www.econbiz.de/10011516036
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A penny saved is a penny earned : less expensive zero coupon bonds
Gnoatto, Alessandro; Grasselli, Martino; Platen, Eckhard - 2016
Persistent link: https://www.econbiz.de/10011778099
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Detecting money market bubbles
Baldeaux, Jan; Ignatieva, Ekaterina; Platen, Eckhard - 2016
Persistent link: https://www.econbiz.de/10011778131
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Inference on self-exciting jumps in prices and volatility using high frequency measures
Maneesoonthorn, Worapree; Forbes, Catherine Scipione; … - 2016 - Revised 14, 30
Persistent link: https://www.econbiz.de/10011781663
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Auxiliary likelihood-based approximate Bayesian computation in state space models
Martin, Gael M.; McCabe, Brendon P. M.; Frazier, David T.; … - 2016
Persistent link: https://www.econbiz.de/10011781699
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Generalized fractional processes with long memory and time dependent volatility revisited
Peiris, M. Shelton; Asai, Manabu - In: Econometrics : open access journal 4 (2016) 3, pp. 1-21
follow GARCH and stochastic volatility (SV). Under certain regularity conditions, we give asymptotic results for the …
Persistent link: https://www.econbiz.de/10011568296
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Estimación de la volatilidad del tipo de cambio en México y Brasil : un enfoque con modelos Markov Switching Garch
Martínez, Rolando Caballero; Claure, Benigno Caballero - In: Revista latinoamericana de desarrollo económico 25 (2016), pp. 127-170
Persistent link: https://www.econbiz.de/10011584362
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Measuring uncertainty and its impact on the economy
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2016
Persistent link: https://www.econbiz.de/10011549654
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