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Search: subject:"stochastic volatility model"
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Subject
All
Volatilität
136
Volatility
133
Stochastic volatility
128
Stochastische Volatilität
128
Stochastic process
125
Stochastischer Prozess
125
Option pricing theory
84
Optionspreistheorie
84
Theorie
75
Theory
75
Stochastic volatility model
66
stochastic volatility model
41
Monte Carlo simulation
37
Monte-Carlo-Simulation
37
Prognoseverfahren
37
Forecasting model
35
Estimation
32
ARCH model
31
ARCH-Modell
31
Schätzung
31
Bayesian inference
26
Bayes-Statistik
24
Zeitreihenanalyse
22
Time series analysis
21
Derivat
20
Derivative
20
Estimation theory
19
Markov chain
19
Option trading
19
Optionsgeschäft
19
Schätztheorie
19
USA
19
United States
19
Welt
19
World
19
Markov-Kette
18
Exchange rate
17
VAR model
17
VAR-Modell
17
Wechselkurs
17
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Online availability
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Free
143
Undetermined
119
CC license
4
Type of publication
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Article
182
Book / Working Paper
144
Other
2
Type of publication (narrower categories)
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Article in journal
131
Aufsatz in Zeitschrift
131
Working Paper
74
Graue Literatur
72
Non-commercial literature
72
Arbeitspapier
63
Hochschulschrift
11
Article
8
Aufsatz im Buch
6
Book section
6
Thesis
5
Collection of articles written by one author
4
Sammlung
4
Aufsatzsammlung
2
Collection of articles of several authors
2
Sammelwerk
2
Systematic review
1
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1
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Language
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English
266
Undetermined
59
German
3
Author
All
Clark, Todd E.
15
Huber, Florian
14
McAleer, Michael
14
Asai, Manabu
11
Koopman, Siem Jan
11
Jungbacker, Borus
10
Kaufmann, Daniel
10
Mertens, Elmar
9
Escobar, Marcos
8
McCracken, Michael W.
8
Carriero, Andrea
7
Marcellino, Massimiliano
7
Aastveit, Knut Are
6
Kobayashi, Masahito
6
Peiris, Shelton
6
Xu, Dinghai
6
Chang, Chia-Lin
5
Chiarella, Carl
5
Neto, David
5
Sardy, Sylvain
5
Takahashi, Akihiko
5
Alòs, Elisa
4
Chan, Jiun Hong
4
Crespo Cuaresma, Jesús
4
Hol, Eugenie
4
Joshi, Mark S.
4
Li, Minqiang
4
Platen, Eckhard
4
Spokoiny, Vladimir G.
4
Baldeaux, Jan
3
Breitung, Jörg
3
Chan, Leunglung
3
Chen, Jinghui
3
Chen, Jun-Home
3
Cheng, Yuyang
3
Chiba, Masaru
3
Doppelhofer, Gernot
3
Feldkircher, Martin
3
Funahashi, Hideharu
3
Grasselli, Martino
3
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Institution
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Society for Computational Economics - SCE
3
Tinbergen Institute
3
Tinbergen Instituut
3
Université Paris-Dauphine (Paris IX)
3
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
3
Econometric Society
2
Institut d'Economie et Econométrie, Université de Genève
2
School of Economics and Management, University of Aarhus
2
Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
2
Birkbeck, Department of Economics, Mathematics & Statistics
1
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
1
Department of Economics and Business, Universitat Pompeu Fabra
1
Department of Economics, University of Victoria
1
Department of Economics, University of Waterloo
1
EconWPA
1
EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X)
1
HAL
1
Hong Kong Institute for Monetary Research (HKIMR), Government of Hong Kong
1
Institute for Monetary and Economic Studies, Bank of Japan
1
KOF Swiss Economic Institute, Department of Management, Technology and Economics (D-MTEC)
1
National Bureau of Economic Research
1
Technische Universität Dresden
1
Universität Trier
1
Université Paris-Dauphine
1
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Published in...
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International journal of theoretical and applied finance
19
The journal of futures markets
11
Quantitative finance
8
Discussion paper / Tinbergen Institute
7
Department of Economics working paper
6
Econometric Institute research papers
6
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
6
Tinbergen Institute Discussion Papers
6
International journal of financial engineering
5
Discussion paper / Centre for Economic Policy Research
4
European journal of operational research : EJOR
4
International Journal of Theoretical and Applied Finance (IJTAF)
4
Journal of Risk and Financial Management
4
Journal of econometrics
4
Journal of risk and financial management : JRFM
4
CORE discussion papers : DP
3
Computational Statistics & Data Analysis
3
Discussion Paper
3
Economics Papers from University Paris Dauphine
3
Federal Reserve Bank of Cleveland working paper series
3
Finance and Stochastics
3
Finance research letters
3
Journal of mathematical finance
3
Journal of risk
3
MPRA Paper
3
Review of Derivatives Research
3
Tinbergen Institute Discussion Paper
3
Working paper
3
Applied Econometrics
2
CESifo working papers
2
CREATES Research Papers
2
Cahiers du Département d'Econométrie
2
Economic modelling
2
Energy economics
2
European Journal of Operational Research
2
Financial Innovation
2
Financial innovation : FIN
2
IMA journal of management mathematics
2
Insurance / Mathematics & economics
2
Insurance: Mathematics and Economics
2
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Source
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ECONIS (ZBW)
233
RePEc
72
EconStor
19
BASE
4
Showing
91
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328
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91
Dual control Monte-Carlo method for tight bounds of value function under Heston
stochastic
volatility
model
Ma, Jingtang
;
Li, Wenyuan
;
Zheng, Harry
- In:
European journal of operational research : EJOR
280
(
2020
)
2
,
pp. 428-440
Persistent link: https://www.econbiz.de/10012132415
Saved in:
92
Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility
Yan, Tingjin
;
Wong, Hoi Ying
- In:
Insurance / Mathematics & economics
90
(
2020
),
pp. 105-119
Persistent link: https://www.econbiz.de/10012169507
Saved in:
93
Static hedges of barrier options under fast mean-reverting stochastic volatility
Huh, Jeonggyu
;
Jeon, Jaegi
;
Ma, Yong-Ki
- In:
Computational economics
55
(
2020
)
1
,
pp. 185-210
Persistent link: https://www.econbiz.de/10012222596
Saved in:
94
Malliavin differentiability of CEV-type Heston model
Tsumurai, Shota
- In:
Journal of mathematical finance
10
(
2020
)
1
,
pp. 173-199
Persistent link: https://www.econbiz.de/10012545592
Saved in:
95
Modeling time-varying uncertainty of multiple-horizon forecast errors
Clark, Todd E.
;
McCracken, Michael W.
;
Mertens, Elmar
- In:
The review of economics and statistics
102
(
2020
)
1
,
pp. 17-33
Persistent link: https://www.econbiz.de/10012208035
Saved in:
96
Triple regime
stochastic
volatility
model
with threshold and leverage effects
Han, Heejoon
;
Lee, Eunhee
- In:
The Korean economic review
36
(
2020
)
2
,
pp. 481-509
Persistent link: https://www.econbiz.de/10013273019
Saved in:
97
Nominal stability and Swiss monetary regimes over two centuries
Kaufmann, Daniel
-
2015
nominal GDP changes. The trends of these indicators are estimated by an unobserved-components
stochastic-volatility
model
in …
Persistent link: https://www.econbiz.de/10011307782
Saved in:
98
Trend fundamentals and exchange rate dynamics
Huber, Florian
;
Kaufmann, Daniel
-
2015
We estimate a multivariate unobserved components-
stochastic
volatility
model
to explain the dynamics of a panel of six …
Persistent link: https://www.econbiz.de/10011417862
Saved in:
99
Testing for time variation in an unobserved components model for the US economy
Berger, Tino
;
Everaert, Gerdie
;
Vierke, Hauke
-
2015
Persistent link: https://www.econbiz.de/10010515386
Saved in:
100
US monetary policy in a globalized world
Crespo Cuaresma, Jesús
;
Doppelhofer, Gernot
; …
-
2015
Persistent link: https://www.econbiz.de/10011421835
Saved in:
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