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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 41 - 50 of 423
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Psychological barriers and option pricing in a local volatility model
Li, Dan; Liu, Lixin; Xu, Guangli - In: The North American journal of economics and finance : a … 64 (2023), pp. 1-15
Persistent link: https://www.econbiz.de/10014246900
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Asymmetry in stochastic volatility models with threshold and time-dependent correlation
Schäfers, Torben; Teng, Long - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 2, pp. 131-146
Persistent link: https://www.econbiz.de/10014288879
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An application of damped diffusion for modeling volatility dynamics
Hung, Mao-Wei; Ko, Yi-Chen; Wang, Jr-Yan - In: Journal of financial econometrics 21 (2023) 3, pp. 779-809
Persistent link: https://www.econbiz.de/10014314820
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Volatility forecast with the regularity modifications
Zhu, Qinwen; Diao, Xundi; Wu, Chongfeng - In: Finance research letters 58 (2023) 1, pp. 1-10
Persistent link: https://www.econbiz.de/10014582373
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Robust portfolio choice under the 4/2 stochastic volatility model
Cheng, Yuyang; Escobar, Marcos - In: IMA journal of management mathematics 34 (2023) 1, pp. 221-256
Persistent link: https://www.econbiz.de/10013541857
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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
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Focused Bayesian prediction
Loiza-Maya, Ruben; Martin, Gael M.; Frazier, David T. - 2020
Persistent link: https://www.econbiz.de/10012606751
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Trend fundamentals and exchange rate dynamics
Huber, Florian; Kaufmann, Daniel - 2019
We estimate a multivariate unobserved components stochastic volatility model to explain the dynamics of a panel of six …
Persistent link: https://www.econbiz.de/10012271235
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Nominal stability over two centuries
Kaufmann, Daniel - In: Swiss Journal of Economics and Statistics 155 (2019) 7, pp. 1-23
transitory measurement errors, in particular in nineteenth century data, I use an unobserved-components stochastic-volatility … model to extract the permanent trends from several nominal variables. The descriptive analysis of these trends suggests that …
Persistent link: https://www.econbiz.de/10013205769
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Assessing nowcast accuracy of US GDP growth in real time: the role of booms and busts
Siliverstovs, Boriss - 2019
Persistent link: https://www.econbiz.de/10011990793
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