EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"stochastic volatility model"
Narrow search

Narrow search

Year of publication
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
more ... less ...
Online availability
All
Free 143 Undetermined 119 CC license 4
Type of publication
All
Article 182 Book / Working Paper 144 Other 2
Type of publication (narrower categories)
All
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 Übersichtsarbeit 1
more ... less ...
Language
All
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
more ... less ...
Institution
All
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
more ... less ...
Published in...
All
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
more ... less ...
Source
All
ECONIS (ZBW) 233 RePEc 72 EconStor 19 BASE 4
Showing 21 - 30 of 328
Cover Image
Empirical Option Pricing Models
Bates, David S. - National Bureau of Economic Research - 2021
This paper is an overview of empirical options research, with primary emphasis on research into systematic stochastic volatility and jump risks relevant for pricing stock index options. The paper reviews evidence from time series analysis, option prices and option price evolution regarding those...
Persistent link: https://www.econbiz.de/10012794582
Saved in:
Cover Image
Trend fundamentals and exchange rate dynamics
Huber, Florian; Kaufmann, Daniel - 2016
Persistent link: https://www.econbiz.de/10011428052
Saved in:
Cover Image
The EWMA Heston model
Parent, Léo - In: Quantitative finance 23 (2023) 1, pp. 71-93
Persistent link: https://www.econbiz.de/10013490955
Saved in:
Cover Image
SABR equipped with AI wings
Funahashi, Hideharu - In: Quantitative finance 23 (2023) 2, pp. 229-249
Persistent link: https://www.econbiz.de/10014232624
Saved in:
Cover Image
A multivariate 4/2 stochastic covariance model : properties and applications to portfolio decisions
Cheng, Yuyang; Escobar, Marcos - In: Quantitative finance 23 (2023) 3, pp. 497-519
Persistent link: https://www.econbiz.de/10014232681
Saved in:
Cover Image
VIX modeling for a market insider
Hess, Markus - In: International journal of theoretical and applied … 26 (2023) 4/5, pp. 1-27
Persistent link: https://www.econbiz.de/10014497258
Saved in:
Cover Image
Sequential Bayesian analysis for semiparametric stochastic volatility model with applications
Wang, Nianling; Lou, Zhusheng - In: Economic modelling 123 (2023), pp. 1-10
Persistent link: https://www.econbiz.de/10014462582
Saved in:
Cover Image
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:
Cover Image
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:
Cover Image
Robust portfolio choice under the 4/2 stochastic volatility model
Cheng, Yuyang; Escobar, Marcos - In: IMA journal of management mathematics 34 (2023) 1, pp. 221-256
Persistent link: https://www.econbiz.de/10013541857
Saved in:
  • First
  • Prev
  • 1
  • 2
  • 3
  • 4
  • 5
  • 6
  • 7
  • 8
  • 9
  • 10
  • 11
  • Next
  • Last
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...