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  • Search: subject:"stochastic volatility"
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Year of publication
Subject
All
Volatilität 1,350 Volatility 1,309 Stochastischer Prozess 1,127 Stochastic process 1,095 Stochastic volatility 1,011 stochastic volatility 983 Optionspreistheorie 546 Option pricing theory 539 Theorie 510 Theory 476 Schätzung 411 Estimation 406 Zeitreihenanalyse 263 Time series analysis 252 Bayesian inference 249 Bayes-Statistik 239 Monte Carlo simulation 237 Monte-Carlo-Simulation 215 Prognoseverfahren 211 Stochastic Volatility 211 VAR-Modell 204 Forecasting model 202 Schätztheorie 197 VAR model 197 Estimation theory 193 ARCH-Modell 188 Markov chain 181 ARCH model 179 Markov-Kette 177 Derivat 154 Derivative 153 Optionsgeschäft 151 Option trading 149 Risiko 136 Risk 136 Stochastische Volatilität 130 Kapitaleinkommen 113 Capital income 110 Portfolio selection 110 Portfolio-Management 110
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Online availability
All
Free 1,326 Undetermined 1,135 CC license 54
Type of publication
All
Article 1,540 Book / Working Paper 1,276 Other 10
Type of publication (narrower categories)
All
Article in journal 1,023 Aufsatz in Zeitschrift 1,023 Working Paper 525 Graue Literatur 344 Non-commercial literature 344 Arbeitspapier 319 Article 55 Aufsatz im Buch 18 Book section 18 Thesis 17 Hochschulschrift 16 research-article 8 Conference Paper 5 Collection of articles written by one author 4 Conference paper 4 Konferenzbeitrag 4 Sammlung 4 Aufsatzsammlung 3 Collection of articles of several authors 3 Sammelwerk 3 Konferenzschrift 1 Systematic review 1 Übersichtsarbeit 1
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Language
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English 1,943 Undetermined 868 French 6 German 5 Spanish 3 Romanian 1
Author
All
McAleer, Michael 73 Asai, Manabu 54 Koopman, Siem Jan 53 Mumtaz, Haroon 52 Shephard, Neil 48 Bos, Charles S. 41 Clark, Todd E. 39 Huber, Florian 37 Carriero, Andrea 28 Marcellino, Massimiliano 28 Todorov, Viktor 28 Barndorff-Nielsen, Ole E. 26 Chiarella, Carl 23 Platen, Eckhard 23 Rodriguez, Gabriel 23 Escobar, Marcos 22 Karlsson, Sune 20 Mertens, Elmar 20 Alòs, Elisa 19 Nakajima, Jouchi 18 Theodoridis, Konstantinos 18 Österholm, Pär 18 Branger, Nicole 17 Tauchen, George 17 Bollerslev, Tim 16 Chan, Joshua 16 Ravazzolo, Francesco 16 Lord, Roger 15 Benati, Luca 14 Gupta, Rangan 14 Poon, Aubrey 14 Shin, Minchul 14 Martin, Gael M. 13 Nguyen, Hoang 13 Omori, Yasuhiro 13 Caporin, Massimiliano 12 Chang, Chia-Lin 12 Cross, Jamie 12 Hautsch, Nikolaus 12 Hou, Chenghan 12
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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 Finance Discipline Group, Business School 22 Tinbergen Institute 22 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 21 Department of Economics, Oxford University 20 Economics Group, Nuffield College, University of Oxford 17 Society for Computational Economics - SCE 17 C.E.P.R. Discussion Papers 16 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 14 EconWPA 13 Econometric Society 13 HAL 12 European Central Bank 11 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 10 Henley Business School, University of Reading 9 Duke University, Department of Economics 8 London School of Economics (LSE) 8 School of Economics and Finance, Queen Mary 8 Department of Econometrics and Business Statistics, Monash Business School 7 Department of Economics and Business, Universitat Pompeu Fabra 7 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 7 Suntory and Toyota International Centres for Economics and Related Disciplines, LSE 7 Université Paris-Dauphine (Paris IX) 7 Bank of England 6 Department of Economics and Finance, College of Business and Economics 6 Department of Economics, University of Pennsylvania 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 University of Bonn, Germany 6 Erasmus University Rotterdam, Econometric Institute 5 Institute of Economic Research, Kyoto University 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 Institut für Weltwirtschaft (IfW) 4
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Published in...
All
International journal of theoretical and applied finance 65 Working Paper 51 International Journal of Theoretical and Applied Finance (IJTAF) 50 Tinbergen Institute Discussion Papers 50 CREATES Research Papers 44 Journal of econometrics 43 Quantitative finance 43 Discussion paper / Tinbergen Institute 42 MPRA Paper 39 Tinbergen Institute Discussion Paper 37 Quantitative Finance 29 Journal of economic dynamics & control 28 Finance and Stochastics 27 Finance research letters 27 Working paper 26 Physica A: Statistical Mechanics and its Applications 25 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 24 Applied Mathematical Finance 23 Applied mathematical finance 22 CAMA working paper series 22 Energy economics 22 CIRANO Working Papers 21 Research Paper Series / Finance Discipline Group, Business School 21 Computational economics 20 Economics Series Working Papers / Department of Economics, Oxford University 20 Economics letters 20 Journal of banking & finance 20 The journal of computational finance 19 The journal of futures markets 19 ECB Working Paper 18 European journal of operational research : EJOR 18 Economics Papers / Economics Group, Nuffield College, University of Oxford 17 Finance and stochastics 17 Journal of Risk and Financial Management 17 Review of Derivatives Research 17 The North American journal of economics and finance : a journal of financial economics studies 17 CEPR Discussion Papers 16 Journal of mathematical finance 16 Journal of risk and financial management : JRFM 16 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 16
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Source
All
ECONIS (ZBW) 1,424 RePEc 1,096 EconStor 267 BASE 30 Other ZBW resources 9
Showing 11 - 20 of 2,826
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Macroeconomic real-time forecasts of univariate models with flexible error structures
Trinh, Kelly; Zhang, Bo; Hou, Chenghan - In: Journal of forecasting 44 (2025) 1, pp. 59-78
Persistent link: https://www.econbiz.de/10015373952
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Investment opportunity strategy in a double-mean-reverting 4/2 stochastic volatility environment
Cao, Jiling; Kim, Jeong-Hoon; Liu, Wenqiang; Zhang, WenJun - 2025
Persistent link: https://www.econbiz.de/10015372122
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Simulation smoothing for state space models : an extremum Monte Carlo approach
Moussa, Karim - 2025
application based on a stochastic volatility model with stable errors highlights the flexibility of the approach. …
Persistent link: https://www.econbiz.de/10015404318
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Time-varying dynamics of the German business cycle : a comprehensive investigation
Reif, Magnus - 2021
do so, I employ an open-economy time-varying parameter VAR with stochastic volatility, which I estimate by quasi …
Persistent link: https://www.econbiz.de/10012607593
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Time-varying dynamics of the german business cycle : a comprehensive investigation
Reif, Magnus - In: Oxford bulletin of economics and statistics 84 (2022) 1, pp. 80-102
Persistent link: https://www.econbiz.de/10012818979
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Partial identification of heteroskedastic structural VARs: Theory and Bayesian inference
Lütkepohl, Helmut; Shang, Fei; Uzeda, Luis; Woźniak, … - 2024
We consider structural vector autoregressions identified through stochastic volatility. Our focus is on whether a …
Persistent link: https://www.econbiz.de/10014530293
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US interest rates: Are relations stable?
Karlsson, Sune; Kiss, Tamás; Nguyen, Hoang; … - 2024
estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury …
Persistent link: https://www.econbiz.de/10014551600
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Time-varying investment dynamics in the USA
Mendieta-Muñoz, Ivan - 2024
We study the time-varying effects of Tobin's q and cash flow on investment dynamics in the USA using a vector autoregression model with drifting parameters and stochastic volatilities estimated via Bayesian methods. We find significant variation over time of the response of investment to shocks...
Persistent link: https://www.econbiz.de/10014581895
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VAR models with fat tails and dynamic asymmetry
Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang; Österholm, Pär - 2024
In this paper, we extend the standard Gaussian stochastic-volatility Bayesian VAR by employing the generalized …
Persistent link: https://www.econbiz.de/10015130168
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Approximate option pricing under a two-factor Heston-Kou stochastic volatility model
El-Khatib, Youssef; Makumbe, Zororo S.; Vives, Josep - In: Computational management science 21 (2024) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10014393433
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