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 54 Volatility 48 ARCH-Modell 28 Stochastischer Prozess 27 volatility models 26 ARCH model 25 Stochastic process 25 Theorie 24 stochastic volatility models 23 Zeitreihenanalyse 20 Börsenkurs 17 Theory 17 Time series analysis 17 Schätzung 16 conditional volatility models 16 asymmetry 15 Estimation 13 Prognoseverfahren 13 Share price 13 leverage 13 Forecasting model 12 Stochastic volatility models 12 Volatility models 12 Schätztheorie 11 Estimation theory 10 Optionspreistheorie 10 Aktienindex 9 Option pricing theory 9 Stochastic Volatility Models 8 Stock index 8 Risikomaß 7 Risk measure 7 random coefficient complex nonlinear moving average process 7 Capital income 6 Conditional Volatility Models 6 Kapitaleinkommen 6 Monte Carlo simulation 6 Monte-Carlo-Simulation 6 Portfolio selection 6 Portfolio-Management 6
more ... less ...
Online availability
All
Free 163 CC license 7
Type of publication
All
Book / Working Paper 123 Article 39 Other 1
Type of publication (narrower categories)
All
Working Paper 50 Arbeitspapier 27 Graue Literatur 27 Non-commercial literature 27 Article in journal 22 Aufsatz in Zeitschrift 22 Article 8 Thesis 2 Aufsatzsammlung 1 Hochschulschrift 1
more ... less ...
Language
All
English 115 Undetermined 43 Portuguese 2 Spanish 2 French 1
Author
All
McAleer, Michael 25 Chang, Chia-Lin 16 Koopman, Siem Jan 10 Lucas, André 9 Blasques, Francisco 7 Hsu, Hui-Kuang 6 Lit, Rutger 5 Mungo, Julius 5 Alòs, Elisa 4 Kilin, Fiodar 4 Lux, Thomas 4 Wintenberger, Olivier 4 Allen, David E. 3 Becker, Ralf 3 Chernov, Mikhail 3 Clements, Adam 3 Dufays, Arnaud 3 Ghysels, Eric 3 Härdle, Wolfgang 3 Kuchynka, Alexandr 3 León, Jorge A. 3 Sattarhoff, Cristina 3 Singh, Abhay K. 3 Ysusi, Carla 3 Bayer, Christian 2 Baños, David 2 Belomestny, Denis 2 Bertschinger, Nils 2 Bollerslev, Tim 2 Brignone, Riccardo 2 Butkovsky, Oleg 2 Divino, Jose Angelo 2 Ewald, Christian-Olivier 2 Fiszeder, Piotr 2 Freitas, Clailton Ataides 2 Gallant, A. Ronald 2 Golosnoy, Vasyl 2 Gonzato, Luca 2 Gorgi, Paolo 2 Gozgor, Giray 2
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 Banco de México 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 Econometric Society 2 Erasmus University Rotterdam, Econometric Institute 2 HAL 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 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 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 School of Economics, Singapore Management University 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 CIRANO Working Papers 5 Documentos de Trabajo del ICAE 5 Tinbergen Institute Discussion Papers 5 CREATES Research Papers 3 Econometric Institute Research Papers 3 NCER Working Paper Series 3 Working Papers / Banco de México 3 Annals of Operations Research 2 Análisis económico 2 CPQF Working Paper Series 2 Econometric Institute Report 2 Econometric Society 2004 Australasian Meetings 2 Econometrics 2 Economics Working Paper 2 Economics Working Papers / Department of Economics and Business, Universitat Pompeu Fabra 2 Kiel Working Paper 2 Research paper / Quantitative Finance Research Centre, University of Technology Sydney 2 Risks : open access journal 2 SFB 649 Discussion Paper 2 SFB 649 Discussion Papers 2 SSE/EFI Working Paper Series in Economics and Finance 2 Statistics and Econometrics Working Papers 2 46th Congress, July 20-23, 2008, Rio Branco, Acre, Brasil 1 Advances in Economic and Financial Research - DOFIN Working Paper Series 1 Applied Econometrics 1 Aquaculture economics & management : official journal of the International Association of Aquaculture Economics and Management 1 Asian Economic and Financial Review 1 Barcelona GSE working paper series : working paper 1 Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society 1 CEIS Tor Vergata research papers : CEIS Tor Vergata research paper series 1 Cahiers de recherche 1 Central Bank Review (CBR) 1 Department of Economics working paper 1 Department of Economics working paper series 1 Dynamic Econometric Models 1 ERIM Report Series Research in Management 1 Econometric Institute research papers 1
more ... less ...
Source
All
RePEc 78 ECONIS (ZBW) 51 EconStor 32 BASE 2
Showing 1 - 10 of 163
Cover Image
Deglobalization and foreign exchange volatility : the role of supply chain pressures
Segnon, Mawuli; Demirer, Rıza; Gupta, Rangan - 2025
Persistent link: https://www.econbiz.de/10015205838
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
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
Characterization and prediction of the Ghana stock exchange composite index utilizing Bayesian stochastic volatility models
Tweneboah, Osei Kofi; Ohene-Obeng, Kwesi A.; Mariani, … - 2025
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
Robust estimation of the range-based GARCH model : forecasting volatility, value at risk and expected shortfall of cryptocurrencies
Fiszeder, Piotr; Małecka, Marta; Molnár, Peter - In: Economic modelling 141 (2024), pp. 1-21
Persistent link: https://www.econbiz.de/10015191454
Saved in:
Cover Image
A reproducing kernel Hilbert space approach to singular local stochastic volatility McKean–Vlasov models
Bayer, Christian; Belomestny, Denis; Butkovsky, Oleg; … - In: Finance and Stochastics 28 (2024) 4, pp. 1147-1178
Motivated by the challenges related to the calibration of financial models, we consider the problem of numerically solving a singular McKean–Vlasov equation dXt=σ(t,Xt)XtvtE[vt
Persistent link: https://www.econbiz.de/10015359559
Saved in:
Cover Image
A reproducing kernel Hilbert space approach to singular local stochastic volatility McKean-Vlasov models
Bayer, Christian; Belomestny, Denis; Butkovsky, Oleg; … - In: Finance and stochastics 28 (2024) 4, pp. 1147-1178
Persistent link: https://www.econbiz.de/10015130558
Saved in:
Cover Image
Calibration in the "real world" of a partially specified stochastic volatility model
Fatone, Lorella; Mariani, Francesca; Zirilli, Francesco - In: The journal of futures markets 44 (2024) 1, pp. 75-102
Persistent link: https://www.econbiz.de/10014475426
Saved in:
Cover Image
Analysis of the Mexican Peso-US Dollar exchange rate volatility through stochastic modeling
López Herrera, Francisco - In: Análisis económico 39 (2024) 100, pp. 85-98
Persistent link: https://www.econbiz.de/10014536248
Saved in:
Cover Image
Can inflation predict energy price volatility?
Batten, Jonathan A.; Mo, Di; Pourkhanali, Armin - In: Energy economics 129 (2024), pp. 1-18
Persistent link: https://www.econbiz.de/10014558888
Saved in:
  • 1
  • 2
  • 3
  • 4
  • 5
  • 6
  • 7
  • 8
  • 9
  • 10
  • 11
  • Next
  • Last
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...