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Search: subject:"stochastic volatility"
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Volatilität
1,351
Volatility
1,310
Stochastischer Prozess
1,128
Stochastic process
1,096
Stochastic volatility
1,011
stochastic volatility
983
Optionspreistheorie
547
Option pricing theory
540
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
Stochastic Volatility
212
Prognoseverfahren
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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Free
1,327
Undetermined
1,135
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54
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1,540
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1,277
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10
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1,023
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526
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345
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320
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55
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18
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18
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8
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5
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1,944
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868
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6
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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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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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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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ECONIS (ZBW)
1,425
RePEc
1,096
EconStor
267
BASE
30
Other ZBW resources
9
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370
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361
Time changing effects of external shocks on macroeconomic fluctuations in Peru : empirical application using regime-switching VAR models with
stochastic
volatility
Chávez, Paulo
;
Rodriguez, Gabriel
- In:
Review of world economics
159
(
2023
)
2
,
pp. 505-544
Persistent link: https://www.econbiz.de/10014308071
Saved in:
362
Optimal investment with correlated
stochastic
volatility
factors
Bichuch, Maxim
;
Fouque, Jean-Pierre
- In:
Mathematical finance : an international journal of …
33
(
2023
)
2
,
pp. 342-369
Persistent link: https://www.econbiz.de/10014278672
Saved in:
363
Real-time forecasting of the Australian macroeconomy using flexible Bayesian VARs
Hou, Chenghan
;
Nguyen, Bao
;
Zhang, Bo
- In:
Journal of forecasting
42
(
2023
)
2
,
pp. 418-451
Persistent link: https://www.econbiz.de/10014292196
Saved in:
364
Simple factor realized
stochastic
volatility
models
Kawakatsu, Hiroyuki
- In:
Journal of time series econometrics
15
(
2023
)
1
,
pp. 79-110
Persistent link: https://www.econbiz.de/10014288373
Saved in:
365
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
Saved in:
366
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
Saved in:
367
Shot-noise cojumps : exact simulation and option pricing
Qu, Yan
;
Dassios, Angelos
;
Zhao, Hongbiao
- In:
Journal of the Operational Research Society
74
(
2023
)
3
,
pp. 647-665
Persistent link: https://www.econbiz.de/10014331928
Saved in:
368
Large
stochastic
volatility
in mean VARs
Cross, Jamie
;
Hou, Chenghan
;
Koop, Gary
;
Poon, Aubrey
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014332245
Saved in:
369
High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua
;
Poon, Aubrey
;
Zhu, Dan
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
Saved in:
370
A closed-form solution for the
stochastic
volatility
model with applications on international stock markets
Shi, Yanlin
- In:
Journal of the Operational Research Society
74
(
2023
)
4
,
pp. 1183-1197
Persistent link: https://www.econbiz.de/10014334888
Saved in:
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