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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
CC license
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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1,023
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526
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345
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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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17
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16
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8
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5
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4
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1,944
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868
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6
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5
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3
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1
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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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Source
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ECONIS (ZBW)
1,425
RePEc
1,096
EconStor
267
BASE
30
Other ZBW resources
9
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631
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640
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631
The impact of the world food price index on some East-European economies
Saman, Corina
;
Alexandri, Cecilia
- In:
Journal of business economics and management
19
(
2018
)
2
,
pp. 268-287
, Poland and Romania to global food prices. We employ time-varying VARs with
stochastic
volatility
to estimate the behaviour of …
Persistent link: https://www.econbiz.de/10012174767
Saved in:
632
The impact of the world food price index on some East-European economies
Saman, Corina
;
Alexandri, Cecilia
- In:
Journal of Business Economics and Management (JBEM)
19
(
2018
)
2
,
pp. 268-287
, Poland and Romania to global food prices. We employ time-varying VARs with
stochastic
volatility
to estimate the behaviour of …
Persistent link: https://www.econbiz.de/10015401420
Saved in:
633
Leverage and feedback effects on multifactor wishart
stochastic
volatility
for option pricing
Asai, Manabu
;
McAleer, Michael
-
2013
Persistent link: https://www.econbiz.de/10009724148
Saved in:
634
A fractionally integrated wishart
stochastic
volatility
model
Asai, Manabu
;
McAleer, Michael
-
2013
Persistent link: https://www.econbiz.de/10009724817
Saved in:
635
Risk premia and volatilities in a nonlinear term structure model
Feldhütter, Peter
;
Heyerdahl-Larsen, Christian
; …
- In:
Review of finance : journal of the European Finance …
22
(
2018
)
1
,
pp. 337-380
Persistent link: https://www.econbiz.de/10011990795
Saved in:
636
Model-based and empirical analyses of stochastic fluctuations in economy and finance
Zadourian, Rubina
-
2018
Persistent link: https://www.econbiz.de/10011914214
Saved in:
637
Sequential Monte Carlo for fractional
stochastic
volatility
models
Chronopoulou, Alexandra
;
Spiliopoulos, Konstantinos
- In:
Quantitative finance
18
(
2018
)
3
,
pp. 507-517
Persistent link: https://www.econbiz.de/10011906404
Saved in:
638
An empirical study on the measurement and determinants of macroeconomic uncertainty
Ulm, Maren
-
2018
Persistent link: https://www.econbiz.de/10012115215
Saved in:
639
Quasi- Monte Carol methods for the Heston model
Baldeaux, Jan
;
Roberts, Dale
-
2012
Persistent link: https://www.econbiz.de/10009564454
Saved in:
640
Is there one safe-haven for various turbulences? : the evidence from gold, Bitcoin and Ether
Będowska-Sójka, Barbara
;
Kliber, Agata
- In:
The North American journal of economics and finance : a …
56
(
2021
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012821881
Saved in:
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