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Year of publication
Subject
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Volatilität 1,077 Stochastic volatility 1,052 Volatility 1,041 stochastic volatility 1,011 Stochastischer Prozess 864 Stochastic process 841 Optionspreistheorie 425 Option pricing theory 421 Theorie 416 Theory 387 Schätzung 340 Estimation 333 Bayesian inference 221 Stochastic Volatility 220 Zeitreihenanalyse 214 Bayes-Statistik 213 Time series analysis 205 Monte Carlo simulation 188 VAR-Modell 181 Prognoseverfahren 179 VAR model 174 Forecasting model 173 Monte-Carlo-Simulation 170 Schätztheorie 162 Estimation theory 159 Markov chain 147 Markov-Kette 144 ARCH-Modell 138 Stochastische Volatilität 134 ARCH model 130 Risiko 125 Risk 125 Derivat 119 Derivative 118 Optionsgeschäft 108 Option trading 107 GARCH 97 Schock 94 Portfolio selection 92 Portfolio-Management 92
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Online availability
All
Free 1,100 Undetermined 891 CC license 45
Type of publication
All
Article 1,200 Book / Working Paper 1,073 Other 7
Subcategories
All
Article in journal 1,171 Working paper 1,004 Book section 18 Proceedings 6 Literature review 1
Language
All
English 1,579 Undetermined 688 German 5 French 5 Spanish 3
Author
All
Mumtaz, Haroon 49 Shephard, Neil 48 Koopman, Siem Jan 42 McAleer, Michael 42 Bos, Charles S. 41 Clark, Todd E. 39 Carriero, Andrea 29 Marcellino, Massimiliano 29 Todorov, Viktor 27 Barndorff-Nielsen, Ole E. 26 Huber, Florian 23 Asai, Manabu 22 Karlsson, Sune 20 Mertens, Elmar 20 Rodriguez, Gabriel 20 Chiarella, Carl 19 Platen, Eckhard 19 Theodoridis, Konstantinos 18 Österholm, Pär 18 Branger, Nicole 17 Chan, Joshua 16 Ravazzolo, Francesco 16 Lord, Roger 15 Benati, Luca 14 Tauchen, George 14 Alòs, Elisa 13 Shin, Minchul 13 Bollerslev, Tim 12 Chang, Chia-Lin 12 Escobar, Marcos 12 Hautsch, Nikolaus 12 Nakajima, Jouchi 12 Tauchen, George Eugene 12 Zhang, Bo 12 Fernández-Villaverde, Jesús 11 Koop, Gary 11 Omori, Yasuhiro 11 Peiris, Shelton 11 Poon, Aubrey 11 Aastveit, Knut Are 10
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Institution
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School of Economics and Management, University of Aarhus 39 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 29 Tinbergen Instituut 21 Department of Economics, Oxford University 20 Finance Discipline Group, Business School 19 Tinbergen Institute 19 Economics Group, Nuffield College, University of Oxford 17 C.E.P.R. Discussion Papers 16 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 14 Society for Computational Economics - SCE 14 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 14 EconWPA 11 European Central Bank 11 Duke University, Department of Economics 8 Econometric Society 8 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 8 HAL 8 Henley Business School, University of Reading 8 London School of Economics (LSE) 7 School of Economics and Finance, Queen Mary 7 Suntory and Toyota International Centres for Economics and Related Disciplines, LSE 7 Bank of England 6 Department of Econometrics and Business Statistics, Monash Business School 6 Department of Economics, University of Pennsylvania 6 University of Bonn, Germany 6 Département de Sciences Économiques, Université de Montréal 5 Institute of Economic Research, Hitotsubashi University 5 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 5 Anderson Graduate School of Management, University of California-Los Angeles (UCLA) 4 Department of Economics and Business, Universitat Pompeu Fabra 4 Erasmus University Rotterdam, Econometric Institute 4 Grupo de Estudos Monetários e Financeiros (GEMF), Faculdade de Economia 4 Institut für Weltwirtschaft (IfW) 4 National Centre for Econometric Research (NCER) 4 Norges Bank 4 Swiss Finance Institute 4 Bank for International Settlements (BIS) 3 Banque de France 3 CESifo 3 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 3
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Published in...
All
International journal of theoretical and applied finance 42 Working Paper 42 Tinbergen Institute Discussion Papers 40 CREATES Research Papers 39 International Journal of Theoretical and Applied Finance (IJTAF) 38 Journal of econometrics 34 Quantitative finance 34 Discussion paper / Tinbergen Institute 31 Tinbergen Institute Discussion Paper 30 MPRA Paper 29 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 25 Journal of economic dynamics & control 25 Quantitative Finance 24 Working paper 24 Finance and Stochastics 23 Finance research letters 22 Applied Mathematical Finance 20 Applied mathematical finance 20 Economics Series Working Papers / Department of Economics, Oxford University 20 Energy economics 19 The journal of futures markets 19 CAMA working paper series 18 Physica A: Statistical Mechanics and its Applications 18 Research Paper Series / Finance Discipline Group, Business School 18 ECB Working Paper 17 Economics Papers / Economics Group, Nuffield College, University of Oxford 17 CEPR Discussion Papers 16 Economic modelling 16 Studies in nonlinear dynamics and econometrics 16 The journal of computational finance 16 Economics letters 15 CIRANO Working Papers 14 Computational economics 14 Journal of banking & finance 14 Review of Derivatives Research 14 SFB 649 Discussion Papers 14 SFB 649 Discussion Paper 13 Discussion papers / CEPR 12 Insurance 12 International journal of forecasting 12
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Source
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ECONIS (ZBW) 1,159 RePEc 871 EconStor 219 BASE 24 Other ZBW resources 7
Showing 1 - 50 of 1,823
 
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Optimal consumption and portfolio choice with no-borrowing constraint in the Kim-Omberg model
Ferrari, Giorgio; Schütz, Tim Niclas - 2026
In this paper, we study an intertemporal utility maximization problem in which an investor chooses consumption and portfolio strategies in the presence of a stochastic factor and a no-borrowing constraint. In the spirit of the Kim-Omberg model, the stochastic factor represents the excess return...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015609775
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Estimation and inference for stochastic volatility models with heavy-tailed distributions
Rodriguez Rondon, Gabriel; Dufour, Jean-Marie; Ahsan, Nazmul - 2026 - Last updated: March 6, 2026
Statistical inference-both estimation and testing-for stochastic volatility (SV) models is known to be challenging and computationally demanding. We propose simple and efficient estimators for SV models with conditionally heavy-tailed error distributions, particularly the Student's t and...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015612285
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Structural drivers of growth at risk : insights from a VAR-quantile regression approach
Carboni, Giacomo; Fonseca, Luís; Fornari, Fabio; … - 2026
We investigate the impact of structural shocks on the joint distribution of future real GDP growth and inflation in the euro area. We model the conditional mean of these variables, along with selected financial indicators, using a VAR and perform quantile regressions on the VAR residuals to...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015592539
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The dynamic interplay between inflation, economic policy uncertainty, and economic resilience in emerging markets : a time-varying parameter stochastic volatility vector autoregression analysis
Barguellil, Achouak - 2026
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015620224
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Broken symmetry of stock returns : a modified Jones-Faddy skew t-distribution
Shao, Siqi; Ghasemi, Arshia; Farahani, Hamed; Serota, … - 2026
We argue that negative skew and positive mean of the distribution of stock returns are largely due to the broken symmetry of stochastic volatility governing gains and losses. Starting with stochastic differential equations for stock returns and for stochastic volatility, we argue that the...
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Evaluating the self-defeating fiscal austerity hypothesis for a dollarized economy: the Peruvian case
Mancilla Marquina, Luis; Rodriguez, Gabriel - 2026
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Risk in a data-rich model
Caldara, Dario; Mumtaz, Haroon; Zhong, Molin - 2026
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Risk in a data-rich model
Caldara, Dario; Mumtaz, Haroon; Zhong, Molin - 2026
Book / Working Paper
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Whispers in the oil market : exploring sentiment and uncertainty insights
Gifuni, Luigi - 2026
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World GDP, anthropogenic emissions, and global temperatures, sea level, and ice cover
Benati, Luca - 2025
I use Bayesian VARs with stochastic volatility to forecast global temperatures and sea level and ice cover in the Northerin emisphere until 2010, by exploiting (i) their long-run equilibrium relationship with climate change drivers (CCDs) and (ii) the relationship between world GDP and...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015329682
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World GDP, anthropogenic emissions, and global temperatures, sea level, and ice cover
Benati, Luca - 2025
Book / Working Paper
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Unpacking trend inflation: Evidence from a factor correlated unobserved components model of sticky and flexible prices
Li, Mengheng; Mendieta-Munoz, Ivan - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015420313
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Simulation smoothing for state space models : an extremum Monte Carlo approach
Moussa, Karim - 2025
This paper introduces a novel approach to simulation smoothing for nonlinear and non-Gaussian state space models. It allows for computing smoothed estimates of the states and nonlinear functions of the states, as well as visualizing the joint smoothing distribution. The approach combines...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015404318
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Simulation smoothing for state space models: An extremum Monte Carlo approach
Moussa, Karim - 2025
Book / Working Paper
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Value-at-risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston’s model
Escobar-Anel, Marcos; Havrylenko, Yevhen; Zagst, Rudi - 2025
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State-dependent Phillips Curve
Kim, Hyun Hak; Lee, Na Kyeong - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015469658
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Volatility modelling in a Markov-switching environment: two Ornstein–Uhlenbeck-related approaches
Behme, Anita - 2025
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Are macro-financial linkages stable or time-varying? Evidence from Bayesian vector autoregressions
Barrales-Ruiz, Jose; Mendieta-Munoz, Ivan - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015506614
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Moderate time-varying parameter VARs
Celani, Alessandro; Pedini, Luca - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015619437
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State-dependent Phillips Curve
Kim, Hyun Hak; Lee, Na Kyeong - 2025
We propose a state-dependent Phillips curve (PC) where the regime has changed endogenously. Using this framework, a free-standing PC is constructed. This study tests the robustness of the model, various types of inflation, slack measures, and various expectation measures. The PC is found to work...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015206817
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Macroeconomic real-time forecasts of univariate models with flexible error structures
Trinh, Kelly; Zhang, Bo; Hou, Chenghan - 2025
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Time-varying local projections with stochastic volatility
Nakajima, Jouchi - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015332533
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Introducing shrinkage in heavy-tailed state space models to predict equity excess returns
Huber, Florian; Kastner, Gregor; Pfarrhofer, Michael - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015193830
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Volatility estimation through stochastic processes : evidence from cryptocurrencies
Harasheh, Murad; Bouteska, Ahmed - 2025
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Spatial and spatiotemporal volatility models : a review
Otto, Philipp; Doğan, Osman; Taṣpınar, Süleyman; … - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015463226
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COVID-19, US macroeconomic tail risk, and inflation forecasts
Mnasri, Mohamed; Dionne, Georges; Jabir, Mohamed; … - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015447538
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COVID-19, US macroeconomic tail risk, and inflation forecasts
Mnasri, Mohamed; Dionne, Georges; Jabir, Mohamed; … - 2025
Book / Working Paper
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A stochastic volatility approximation for a tick-by-tick price model with mean-field interaction
DaiPra, Paolo; Pigato, Paolo - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015413652
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Polar coordinates for the 3/2 stochastic volatility model
Nekoranik, Paul - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015460605
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Learning from crises : a new class of time- varying parameter VARs with observable adaptation
Hardy, Nicolas; Korobilis, Dimitris - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015568430
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Unpacking trend inflation : evidence from a factor correlated unobserved components model of sticky and flexible prices
Li, Mengheng; Mendieta-Muñoz, Ivan - 2025
We propose a factor correlated unobserved components (FCUC) model to analyze the sticky and flexible components of U.S. inflation. The proposed FCUC framework estimates trend inflation and component cycles in a flexible stochastic environment with time-varying volatility, factor loadings, and...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614526
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On the implied volatility of Inverse options under stochastic volatility models
Alòs, Elisa; Nualart, Eulalia; Pravosud, Makar - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015594549
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Moderate time-varying parameter VARs
Celani, Alessandro; Pedini, Luca - 2025
This paper proposes a parsimonious reparametrization for time-varying parameter models that captures smooth dynamics through a low-dimensional state process combined with B-spline weights. We apply this framework to TVP-VARs, yielding Moderate TVP-VARs that retain the interpretability of...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015589812
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The macroeconomic implications of oil price uncertainty for oil exporting economies : the story of Saudi Arabia
Le, Anh H.; Maršál, Aleš; Manzano, Baltasar - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015578994
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The stochastic behavior of electricity prices under scrutiny : evidence from spot and futures markets
Bégin, Jean-François; Gómez, Fabio; Ignatieva, Ekaterina - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015583207
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Does uncertainty amplify the inflation pass-through of gasoline price shocks?
Gründler, Daniel; Scharler, Johann - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015583488
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Are inflation movements global in nature?
Andriantomanga, Zo - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015619745
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GARCH-PDE models for option pricing under stochastic volatility and their finite difference solvers
Wang, Qi; Zhang, Lu; Zhang, Qian - 2025
This paper presents numerical solvers for generative and hybrid option pricing models that unify econometric and diffusion-based approaches. These models are formulated as systems of continuous partial differential equations (PDEs), with stochastic volatility updated at discrete reset dates...
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Appraising model complexity in option pricing
Cummins, Mark; Esposito, Francesco - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015376680
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Bayesian nonparametric modelling of stochastic volatility
Nikolakopoulos, Efthimios - 2025
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Efficient importance variational approximations for state space models
Loiza-Maya, Ruben; Nibbering, Didier - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015534417
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Forecasting macroeconomic data with Bayesian VARs : sparse or dense? : it depends!
Gruber, Luis; Kastner, Gregor - 2025
Vector autoregressions (VARs) are widely applied when it comes to modeling and forecasting macroeconomic variables. In high dimensions, however, they are prone to overfitting. Bayesian methods—more concretely, shrinkage priors—have been shown to be successful at improving prediction...
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Option pricing models revisited : evidence from the KOSPI 200 options market
Kim, Sol - 2025
This study investigates the optimal option pricing model for the KOSPI 200 options market, where market conditions and investor composition have evolved markedly. We compare the pricing and hedging performances of the Black–Scholes (1973) model (BS), ad hoc Black–Scholes (AHBS) models, the...
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Life-cycle planning model with stochastic volatility and recursive preferences
Wang, Hao; Liu, Dongdong; Xu, Lin; Wang, Ning - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015457626
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Modeling, Analysis and Optimization for Mathematical Finance, Economics and Risks
2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015325017
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Partial identification of heteroskedastic structural VARs: Theory and Bayesian inference
Lütkepohl, Helmut; Shang, Fei; Uzeda, Luis; Woźniak, … - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014530293
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US interest rates: Are relations stable?
Karlsson, Sune; Kiss, Tamás; Nguyen, Hoang; … - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014551600
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Navigating high inflation: A joint analysis of inflation dynamics and long-term inflation expectations in Latin America
Garcia, Juan Angel; Gimeno, Ricardo - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015595380
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American put options with regime-switching volatility
Jang, Bong-Gyu; Koo, Hyeng-keun - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015607494
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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, ebvufind01.dmz1.zbw.eu/10014483612
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Time-varying investment dynamics in the USA
Mendieta-Muñoz, Ivan - 2024
Book / Working Paper
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VAR models with fat tails and dynamic asymmetry
Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang; Österholm, Pär - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015130168
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American put options with regime-switching volatility
Jang, Bong-Gyu; Koo, Hyeng-keun - 2024
We present an approach for pricing American put options with a regime-switching volatility. Our method reveals that the option price can be expressed as the sum of two components: the price of a European put option and the premium associated with the early exercise privilege. Our analysis...
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Orthogonal polynomial expansions for the valuation of options under the stochastic volatility models with stochastic correlation
Tong, Kevin Z. - 2024
This work provides a new method for pricing options under the generalized stochastic volatility models with Jacobi stochastic correlation. Our method is based on the observation that the generalized models belong to the class of polynomial diffusions and therefore the option prices can be...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014632198
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Robust control and CAPMs under a quadratic model with inflation-deflation risk
Batbold, Bolorsuvd; Kikuchi, Kentaro; Kusuda, Koji - 2024
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014549675
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