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  • Search: subject:"stochastic volatility"
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Year of publication
Subject
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stochastic volatility 600 Volatilität 441 Volatility 397 Stochastischer Prozess 349 Stochastic process 316 Stochastic volatility 310 Theorie 212 Theory 178 Schätzung 165 Estimation 153 Stochastic Volatility 150 Bayesian inference 128 Zeitreihenanalyse 126 Bayes-Statistik 122 Time series analysis 115 Prognoseverfahren 113 VAR-Modell 107 Forecasting model 104 VAR model 100 Optionspreistheorie 97 Monte Carlo simulation 91 Option pricing theory 89 Schätztheorie 81 Estimation theory 77 Monte-Carlo-Simulation 77 ARCH-Modell 72 GARCH 69 Stochastische Volatilität 64 ARCH model 63 Risiko 60 Risk 59 Schock 57 USA 57 Shock 54 State space model 52 Zustandsraummodell 51 Inflation 50 Markov chain 48 Markov-Kette 47 Konjunktur 45
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Online availability
All
Free 1,326 CC license 54
Type of publication
All
Book / Working Paper 1,095 Article 223 Other 8
Type of publication (narrower categories)
All
Working Paper 491 Graue Literatur 307 Non-commercial literature 307 Arbeitspapier 285 Article in journal 129 Aufsatz in Zeitschrift 129 Article 55 Thesis 15 Hochschulschrift 9 Conference Paper 5 Collection of articles of several authors 2 Sammelwerk 2 Aufsatzsammlung 1 Conference paper 1 Konferenzbeitrag 1 Konferenzschrift 1 Systematic review 1 Übersichtsarbeit 1
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Language
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English 949 Undetermined 367 French 4 German 3 Spanish 2 Romanian 1
Author
All
McAleer, Michael 55 Koopman, Siem Jan 45 Asai, Manabu 42 Bos, Charles S. 40 Mumtaz, Haroon 40 Shephard, Neil 34 Huber, Florian 30 Clark, Todd E. 26 Barndorff-Nielsen, Ole E. 22 Todorov, Viktor 17 Carriero, Andrea 16 Karlsson, Sune 16 Marcellino, Massimiliano 16 Mertens, Elmar 16 Tauchen, George 16 Österholm, Pär 16 Chiarella, Carl 15 Benati, Luca 14 Platen, Eckhard 13 Rodriguez, Gabriel 13 Theodoridis, Konstantinos 13 Bollerslev, Tim 12 Lord, Roger 12 Nguyen, Hoang 12 Branger, Nicole 11 Martin, Gael M. 11 Ravazzolo, Francesco 11 Hautsch, Nikolaus 10 Nakajima, Jouchi 10 Alòs, Elisa 9 Chang, Chia-Lin 9 Feldkircher, Martin 9 Hol, Eugenie 9 Jungbacker, Borus 9 Maneesoonthorn, Worapree 9 Peiris, Shelton 9 Zhang, Bo 9 Andersen, Torben G. 8 Caporin, Massimiliano 8 Chan, Joshua 8
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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 Tinbergen Institute 22 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 20 Finance Discipline Group, Business School 19 Economics Group, Nuffield College, University of Oxford 17 Department of Economics, Oxford University 14 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 14 HAL 12 Econometric Society 11 European Central Bank 11 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 10 Duke University, Department of Economics 8 London School of Economics (LSE) 8 Department of Econometrics and Business Statistics, Monash Business School 7 Department of Economics and Business, Universitat Pompeu Fabra 7 Henley Business School, University of Reading 7 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 7 Bank of England 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 Erasmus University Rotterdam, Econometric Institute 5 Institute of Economic Research, Kyoto University 5 Society for Computational Economics - SCE 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 National Centre for Econometric Research (NCER) 4 Norges Bank 4 Suntory and Toyota International Centres for Economics and Related Disciplines, LSE 4 Swiss Finance Institute 4 University of Bonn, Germany 4 Université Paris-Dauphine (Paris IX) 4 Banca d'Italia 3 Banco de México 3 Banque de France 3
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Published in...
All
Tinbergen Institute Discussion Papers 50 Working Paper 48 CREATES Research Papers 44 Discussion paper / Tinbergen Institute 41 MPRA Paper 39 Tinbergen Institute Discussion Paper 37 CAMA working paper series 22 Working paper 22 CIRANO Working Papers 20 ECB Working Paper 18 Research Paper Series / Finance Discipline Group, Business School 18 Economics Papers / Economics Group, Nuffield College, University of Oxford 17 Journal of Risk and Financial Management 17 Journal of risk and financial management : JRFM 16 Risks : open access journal 15 Economics Series Working Papers / Department of Economics, Oxford University 14 SFB 649 Discussion Papers 14 SFB 649 Discussion Paper 13 Documento de trabajo 12 Working Paper Series / European Central Bank 11 Department of Economics working paper 10 Econometric Institute Research Papers 10 Federal Reserve Bank of Cleveland working paper series 10 Risks 10 Econometrics : open access journal 9 Research paper / Quantitative Finance Research Centre, University of Technology Sydney 9 LSE Research Online Documents on Economics 8 Working Papers / Duke University, Department of Economics 8 Working paper / Department of Econometrics and Business Statistics, Monash University 8 CESifo Working Paper 7 Cahiers de recherche 7 Economics Working Papers / Department of Economics and Business, Universitat Pompeu Fabra 7 ICMA Centre Discussion Papers in Finance 7 Monash Econometrics and Business Statistics Working Papers 7 Post-Print / HAL 7 SFB 373 Discussion Paper 7 SFB 373 Discussion Papers 7 Swiss Finance Institute Research Paper Series 7 Bank of England working papers 6 Discussion Paper 6
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Source
All
RePEc 582 ECONIS (ZBW) 455 EconStor 267 BASE 22
Showing 1 - 10 of 1,326
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Robustness of Hilbert space-valued stochastic volatility models
Benth, Fred Espen; Eyjolfsson, Heidar - In: Finance and stochastics 28 (2024) 4, pp. 1117-1146
Persistent link: https://www.econbiz.de/10015130556
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Signal extraction by the extremum Monte Carlo method
Moussa, Karim - 2024
Persistent link: https://www.econbiz.de/10014512213
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Introducing shrinkage in heavy-tailed state space models to predict equity excess returns
Huber, Florian; Kastner, Gregor; Pfarrhofer, Michael - In: Empirical economics : a quarterly journal of the … 68 (2025) 2, pp. 535-553
Persistent link: https://www.econbiz.de/10015193830
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State-dependent Phillips Curve
Kim, Hyun Hak; Lee, Na Kyeong - In: Economies : open access journal 13 (2025) 1, pp. 1-14
We propose a state-dependent Phillips curve (PC) where the regime has changed endogenously. Using this framework, a free-standing PC is constructed. This study tests the robustness of the model, various types of inflation, slack measures, and various expectation measures. The PC is found to work...
Persistent link: https://www.econbiz.de/10015206817
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Appraising model complexity in option pricing
Cummins, Mark; Esposito, Francesco - 2025
Persistent link: https://www.econbiz.de/10015376680
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World GDP, anthropogenic emissions, and global temperatures, sea level, and ice cover
Benati, Luca - 2025
I use Bayesian VARs with stochastic volatility to forecast global temperatures and sea level and ice cover in the …
Persistent link: https://www.econbiz.de/10015329682
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Volatility estimation through stochastic processes : evidence from cryptocurrencies
Harasheh, Murad; Bouteska, Ahmed - 2025
Persistent link: https://www.econbiz.de/10015359903
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World GDP, anthropogenic emissions, and global temperatures, sea level, and ice cover
Benati, Luca - 2025
I use Bayesian VARs with stochastic volatility to forecast global temperatures and sea level and ice cover in the …
Persistent link: https://www.econbiz.de/10015358801
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Time-varying local projections with stochastic volatility
Nakajima, Jouchi - 2025
Persistent link: https://www.econbiz.de/10015332533
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Characterization and prediction of the Ghana stock exchange composite index utilizing Bayesian stochastic volatility models
Tweneboah, Osei Kofi; Ohene-Obeng, Kwesi A.; Mariani, … - 2025
variations of Stochastic Volatility (SV) models: SV with linear regressors, SV with Student's t errors, SV with leverage effects …
Persistent link: https://www.econbiz.de/10015331109
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