EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"Volatility Models"
Narrow search

Narrow search

Year of publication
Subject
All
Volatilität 170 Volatility 165 Stochastischer Prozess 103 Stochastic process 101 ARCH-Modell 74 ARCH model 71 Optionspreistheorie 62 Option pricing theory 61 Stochastic volatility models 58 Theorie 58 Theory 51 stochastic volatility models 51 Zeitreihenanalyse 46 volatility models 45 Schätzung 43 Time series analysis 43 Estimation 40 Börsenkurs 32 Share price 28 Option trading 27 Optionsgeschäft 27 Prognoseverfahren 27 Forecasting model 26 Volatility models 26 Monte Carlo simulation 24 Monte-Carlo-Simulation 22 Schätztheorie 22 Derivat 21 Derivative 21 Estimation theory 21 conditional volatility models 21 Capital income 20 Kapitaleinkommen 20 Markov-Kette 20 asymmetry 20 Markov chain 19 Exchange rate 18 Wechselkurs 18 Aktienindex 17 leverage 17
more ... less ...
Online availability
All
Free 168 Undetermined 143 CC license 9
Type of publication
All
Article 219 Book / Working Paper 134 Other 1
Type of publication (narrower categories)
All
Article in journal 138 Aufsatz in Zeitschrift 138 Working Paper 51 Arbeitspapier 28 Graue Literatur 28 Non-commercial literature 28 Article 8 Thesis 2 Aufsatz im Buch 1 Aufsatzsammlung 1 Book section 1 Hochschulschrift 1 research-article 1
more ... less ...
Language
All
English 238 Undetermined 111 Portuguese 2 Spanish 2 French 1
Author
All
McAleer, Michael 35 Chang, Chia-Lin 23 Koopman, Siem Jan 10 Lucas, André 9 Hsu, Hui-Kuang 8 Lux, Thomas 8 Alòs, Elisa 7 Blasques, Francisco 7 Sattarhoff, Cristina 6 Li, Yong 5 Lit, Rutger 5 Morales-Arias, Leonardo 5 Mungo, Julius 5 Ysusi, Carla 5 Allen, David E. 4 Arai, Takuji 4 Chen, Meng-Gu 4 Fiszeder, Piotr 4 Huang, Biing-Wen 4 Kilin, Fiodar 4 Shiraya, Kenichiro 4 Singh, Abhay K. 4 Wintenberger, Olivier 4 Becker, Ralf 3 Blazsek, Szabolcs 3 Chernov, Mikhail 3 Clements, Adam 3 Cui, Zhenyu 3 Dufays, Arnaud 3 Figueroa-López, José E. 3 Ghysels, Eric 3 Golosnoy, Vasyl 3 Gozgor, Giray 3 Gribisch, Bastian 3 Härdle, Wolfgang 3 Kuchynka, Alexandr 3 Kwok, Yue-Kuen 3 Lagunas-Merino, Marc 3 León, Jorge A. 3 Liesenfeld, Roman 3
more ... less ...
Institution
All
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 11 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 5 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 5 Tinbergen Instituut 5 Department of Economics and Finance, College of Business and Economics 4 Banco de México 3 Econometric Society 3 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 3 National Centre for Econometric Research (NCER) 3 School of Economics and Management, University of Aarhus 3 Departamento de Estadistica, Universidad Carlos III de Madrid 2 Department of Economics and Business, Universitat Pompeu Fabra 2 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 2 Erasmus University Rotterdam, Econometric Institute 2 HAL 2 Institut für Weltwirtschaft (IfW) 2 School of Economics, Singapore Management University 2 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 2 Banca d'Italia 1 Banque de France 1 Center for Advanced Research in Finance and Banking (CARFIB), Academia de Studii Economice din Bucureşti 1 Centro de Estudios Económicos, Colegio de México 1 Département de Sciences Économiques, Université de Montréal 1 Départment des sciences administratives, Université du Québec en Outaouais (UQO) 1 Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. 1 Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam 1 Finance Discipline Group, Business School 1 Frankfurt School of Finance and Management 1 Institut ekonomických studií, Univerzita Karlova v Praze 1 Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel 1 London School of Economics (LSE) 1 Nationale Bank van België/Banque national de Belqique (BNB) 1 Sociedade Brasileira de Economia e Sociologia Rural - SOBER 1 Université Paris-Dauphine (Paris IX) 1 Wydział Nauk Ekonomicznych, Uniwersytet Warszawski 1
more ... less ...
Published in...
All
Discussion paper / Tinbergen Institute 14 Tinbergen Institute Discussion Paper 12 MPRA Paper 11 International journal of theoretical and applied finance 10 Finance and stochastics 6 International Journal of Theoretical and Applied Finance (IJTAF) 6 CIRANO Working Papers 5 Documentos de Trabajo del ICAE 5 Finance research letters 5 Journal of economic dynamics & control 5 Physica A: Statistical Mechanics and its Applications 5 Quantitative Finance 5 Tinbergen Institute Discussion Papers 5 Applied economics 4 Computational economics 4 European journal of operational research : EJOR 4 International Journal of Monetary Economics and Finance 4 Mathematical finance : an international journal of mathematics, statistics and financial theory 4 Mathematics and Computers in Simulation (MATCOM) 4 The European Journal of Finance 4 Working Papers in Economics 4 Applied Mathematical Finance 3 CREATES Research Papers 3 Econometric Institute Research Papers 3 International Journal of Financial Markets and Derivatives 3 Journal of forecasting 3 NCER Working Paper Series 3 Risks : open access journal 3 SSE/EFI Working Paper Series in Economics and Finance 3 Working Papers / Banco de México 3 Annals of Operations Research 2 Análisis económico 2 Applied Econometrics 2 CPQF Working Paper Series 2 Decisions in economics and finance : DEF ; a journal of applied mathematics 2 Econometric Institute Report 2 Econometric Society 2004 Australasian Meetings 2 Econometrics 2 Econometrics : open access journal 2 Economics Working Paper 2
more ... less ...
Source
All
ECONIS (ZBW) 169 RePEc 150 EconStor 32 BASE 2 Other ZBW resources 1
Showing 1 - 10 of 354
Cover Image
Characterization and prediction of the Ghana stock exchange composite index utilizing Bayesian stochastic volatility models
Tweneboah, Osei Kofi; Ohene-Obeng, Kwesi A.; Mariani, … - In: Risks : open access journal 13 (2025) 1, pp. 1-17
This study delves into the dynamics of the Ghana Stock Exchange Composite Index (GSE-CI) over the period from 2011 to 2022, a symbolic emerging market index that presents unique challenges and opportunities for financial analysis. We characterize the GSE-CI using advanced analytical tools such...
Persistent link: https://www.econbiz.de/10015331109
Saved in:
Cover Image
On the correlations in linearized multivariate stochastic volatility models
Moussa, Karim - 2025
In the analysis of multivariate stochastic volatility models, many estimation procedures begin by transforming the data …
Persistent link: https://www.econbiz.de/10015333113
Saved in:
Cover Image
Deglobalization and foreign exchange volatility : the role of supply chain pressures
Segnon, Mawuli; Schulte-Tillmann, Björn; Demirer, Rıza; … - 2025
Persistent link: https://www.econbiz.de/10015205838
Saved in:
Cover Image
Combining volatility forecasts of duration-dependent Markov-switching models
Turatti, Douglas Eduardo; Mendes, Fernando Henrique de … - In: Journal of forecasting 44 (2025) 4, pp. 1195-1210
Persistent link: https://www.econbiz.de/10015464622
Saved in:
Cover Image
Volatility of the USD/CHF exchange rate at the beginning of the COVID-19 pandemic
Gaweł, Anna; Kudła, Janusz - In: Journal of banking and financial economics 23 (2025) 2, pp. 42-59
employed several volatility models, including APARCH, EGARCH, GJR-GARCH, TGARCH, and GARCH-MIDAS, on high-frequency USD …-MIDAS, asymmetric volatility models), and the particular crisis period (the outbreak of the COVID-19 pandemic). Research limitations …
Persistent link: https://www.econbiz.de/10015447047
Saved in:
Cover Image
Portfolio selection under systemic risk
Lin, Weidong; Olmo, Jose; Taamouti, Abderrahim - In: Journal of money, credit and banking : JMCB 57 (2025) 4, pp. 905-949
Persistent link: https://www.econbiz.de/10015471208
Saved in:
Cover Image
Dependent and independent time series errors under elliptically countered models
Pérez-Ramirez, Fredy O.; Caro-Lopera, Francisco J.; … - In: Econometrics : open access journal 13 (2025) 2, pp. 1-26
a novel result. We provide new results for criterion selection, evidence invariance, and transitions between volatility … models and heuristic methods to calibrate nested or non-nested models via convergence properties in a distribution. …
Persistent link: https://www.econbiz.de/10015437105
Saved in:
Cover Image
Pricing and hedging of variable annuities with path-dependent guarantee in Wishart stochastic volatility models
Fonseca, José da; Wong, Patrick - In: Insurance : mathematics and economics 123 (2025), pp. 1-14
Persistent link: https://www.econbiz.de/10015432101
Saved in:
Cover Image
On the correlations in linearized multivariate stochastic volatility models
Moussa, Karim - 2025
In the analysis of multivariate stochastic volatility models, many estimation procedures begin by transforming the data …
Persistent link: https://www.econbiz.de/10015361377
Saved in:
Cover Image
Estimating the hurst parameter from the zero vanna implied volatility and its dual
Alòs, Elisa; Rolloos, Frido; Shiraya, Kenichiro - 2025
Persistent link: https://www.econbiz.de/10015558769
Saved in:
  • 1
  • 2
  • 3
  • 4
  • 5
  • 6
  • 7
  • 8
  • 9
  • 10
  • 11
  • Next
  • Last
A service of the
zbw
FAQ-Assistent (beta)
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...