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  • Search: subject:"Volatility Model"
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Year of publication
Subject
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Volatilität 186 Volatility 180 Stochastic process 145 Stochastischer Prozess 145 Stochastic volatility 130 Stochastische Volatilität 128 Optionspreistheorie 111 Option pricing theory 110 Theorie 88 Theory 86 Stochastic volatility model 66 ARCH-Modell 50 ARCH model 47 Prognoseverfahren 46 Forecasting model 44 Estimation 41 stochastic volatility model 41 Schätzung 40 Monte Carlo simulation 38 Monte-Carlo-Simulation 38 Bayesian inference 31 Zeitreihenanalyse 31 Time series analysis 30 Derivat 29 Derivative 29 Bayes-Statistik 28 Schätztheorie 27 Black-Scholes model 26 Black-Scholes-Modell 26 Estimation theory 26 Option trading 24 Optionsgeschäft 24 Markov chain 22 Börsenkurs 21 Markov-Kette 21 Welt 21 World 21 USA 20 United States 20 Risiko 19
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Online availability
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Free 175 Undetermined 163 CC license 5
Type of publication
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Article 244 Book / Working Paper 177 Other 2
Type of publication (narrower categories)
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Article in journal 173 Aufsatz in Zeitschrift 173 Working Paper 86 Graue Literatur 79 Non-commercial literature 79 Arbeitspapier 69 Hochschulschrift 11 Article 9 Aufsatz im Buch 6 Book section 6 Thesis 5 Collection of articles written by one author 4 Sammlung 4 Aufsatzsammlung 2 Collection of articles of several authors 2 Sammelwerk 2 Systematic review 1 research-article 1 Übersichtsarbeit 1
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Language
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English 331 Undetermined 87 German 5
Author
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McAleer, Michael 17 Clark, Todd E. 15 Huber, Florian 14 Koopman, Siem Jan 13 Asai, Manabu 11 Jungbacker, Borus 10 Kaufmann, Daniel 10 Mertens, Elmar 9 Teräsvirta, Timo 9 Escobar, Marcos 8 McCracken, Michael W. 8 Peiris, Shelton 8 Silvennoinen, Annastiina 8 Carriero, Andrea 7 Marcellino, Massimiliano 7 Aastveit, Knut Are 6 Chiarella, Carl 6 Kobayashi, Masahito 6 Xu, Dinghai 6 Chang, Chia-Lin 5 Neto, David 5 Platen, Eckhard 5 Sardy, Sylvain 5 Takahashi, Akihiko 5 Alòs, Elisa 4 Chan, Jiun Hong 4 Chan, Leunglung 4 Crespo Cuaresma, Jesús 4 Febrian, Erie 4 Funahashi, Hideharu 4 Grasselli, Martino 4 Herwany, Aldrin 4 Hol, Eugenie 4 Joshi, Mark S. 4 Li, Minqiang 4 Spokoiny, Vladimir G. 4 Baldeaux, Jan 3 Breitung, Jörg 3 Caporin, Massimiliano 3 Chen, Jinghui 3
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Institution
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School of Economics and Management, University of Aarhus 4 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 3 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 Center for Economics and Development Studies, Fakultas Ekonomi 2 Departemen Manajemen dan Bisnis, Fakultas Ekonomi 2 Econometric Society 2 Finance Discipline Group, Business School 2 HAL 2 Institut d'Economie et Econométrie, Université de Genève 2 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 2 Banca d'Italia 1 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 and Finance, College of Business and Economics 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 Erasmus University Rotterdam, Econometric Institute 1 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 1 Frankfurt School of Finance and Management 1 Hong Kong Institute for Monetary Research (HKIMR), Government of Hong Kong 1 Institute for Monetary and Economic Studies, Bank of Japan 1 Institute of Economic Research, Kyoto University 1 KOF Swiss Economic Institute, Department of Management, Technology and Economics (D-MTEC) 1 National Bureau of Economic Research 1 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1 Technische Universität Dresden 1 Universität Trier 1 Université Paris-Dauphine 1 Wirtschaftswissenschaftliches Zentrum, Universität Basel 1
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Published in...
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International journal of theoretical and applied finance 24 The journal of futures markets 11 Quantitative finance 10 Discussion paper / Tinbergen Institute 8 International Journal of Theoretical and Applied Finance (IJTAF) 8 Research paper / Quantitative Finance Research Centre, University of Technology Sydney 8 Department of Economics working paper 6 Econometric Institute research papers 6 International journal of financial engineering 6 Tinbergen Institute Discussion Papers 6 European journal of operational research : EJOR 5 Journal of econometrics 5 Review of Derivatives Research 5 SSE/EFI Working Paper Series in Economics and Finance 5 CREATES Research Papers 4 Discussion paper / Centre for Economic Policy Research 4 Finance research letters 4 Journal of Risk and Financial Management 4 Journal of mathematical finance 4 Journal of risk and financial management : JRFM 4 Physica A: Statistical Mechanics and its Applications 4 Tinbergen Institute Discussion Paper 4 Applied Mathematical Finance 3 Applied mathematical finance 3 CORE discussion papers : DP 3 Computational Statistics & Data Analysis 3 Discussion Paper 3 Economics Papers from University Paris Dauphine 3 Energy economics 3 Federal Reserve Bank of Cleveland working paper series 3 Finance and Stochastics 3 Finance and stochastics 3 Journal of risk 3 MPRA Paper 3 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 3 The North American journal of economics and finance : a journal of financial economics studies 3 Working paper 3 Applied Econometrics 2 Asia-Pacific journal of risk and insurance : APJRI 2 CESifo working papers 2
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Source
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ECONIS (ZBW) 282 RePEc 109 EconStor 26 BASE 5 Other ZBW resources 1
Showing 321 - 330 of 423
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An unscented Kalman smoother for volatility extraction: Evidence from stock prices and options
Li, Junye - In: Computational Statistics & Data Analysis 58 (2013) C, pp. 15-26
diffusion option pricing model. Both simulation study and empirical applications with the Heston stochastic volatility model …
Persistent link: https://www.econbiz.de/10010595093
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NOTE ON AN EXTENSION OF AN ASYMPTOTIC EXPANSION SCHEME
TAKAHASHI, AKIHIKO; TODA, MASASHI - In: International Journal of Theoretical and Applied … 16 (2013) 05, pp. 1350031-1
This paper presents an extension of a general computational scheme for asymptotic expansions proposed in earlier works by the authors and coworkers. In the earlier works, a new method was developed for the computation of an arbitrary-order expansion with a normal benchmark distribution in a...
Persistent link: https://www.econbiz.de/10010681251
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Interest rate modelling after the financial crisis
Bianchetti, Marco (ed.); Morini, Massimo (ed.) - 2013
Persistent link: https://www.econbiz.de/10013553126
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Note on an extension of an asymptotic expansion scheme
Takahashi, Akihiko; Toda, Masashi - In: International journal of theoretical and applied finance 16 (2013) 5, pp. 1-23
Persistent link: https://www.econbiz.de/10009783991
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New solvable stochastic volatility models for pricing volatility derivatives
Itkin, Andrey - In: Review of derivatives research 16 (2013) 2, pp. 111-134
Persistent link: https://www.econbiz.de/10009774404
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Calibration, simulation and hedging in a Heston libor market model with stochastic basis
Amin, Ahsan - In: Interest rate modelling after the financial crisis, (pp. 369-391). 2013
Persistent link: https://www.econbiz.de/10011457001
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Parsimonious multi-curve HJM modelling with stochastic volatility
Moreni, Nicola; Pallavicini, Andrea - In: Interest rate modelling after the financial crisis, (pp. 393-415). 2013
Persistent link: https://www.econbiz.de/10011457026
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Extremal behavior of stochastic volatility models
Fasen, Vicky; Klüppelberg, Claudia; Lindner, Alexander M. - 2005
process has regularly varying tails. This results then in a volatility model with similarly heavy tails. As the last class of …
Persistent link: https://www.econbiz.de/10010275679
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Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models
Klüppelberg, Claudia; Lindner, Alexander M.; Maller, Ross - 2005
We compare the probabilistic properties of the non-Gaussian Ornstein-Uhlenbeck based stochastic volatility model of …
Persistent link: https://www.econbiz.de/10010275682
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On Importance Sampling for State Space Models
Jungbacker, Borus; Koopman, Siem Jan - 2005
lpha) and a linear Gaussian state alpha ~ p(alpha). The importance density is chosen to be the Laplace approximation of the smoothing density p(alpha
Persistent link: https://www.econbiz.de/10010325405
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