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isPartOf:"Journal of econometrics"
~isPartOf:"Econometric reviews"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"Review of derivatives research"
~source:"econis"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"Volatility"
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Stochastischer Prozess
Volatility
630
Volatilität
630
Theorie
272
Theory
272
Stochastic process
226
Estimation
199
Schätzung
199
Time series analysis
190
Zeitreihenanalyse
190
Estimation theory
181
Schätztheorie
181
Capital income
137
Kapitaleinkommen
137
ARCH model
123
ARCH-Modell
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Börsenkurs
116
Share price
116
Option pricing theory
104
Optionspreistheorie
104
Forecasting model
99
Prognoseverfahren
99
USA
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United States
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Nichtparametrisches Verfahren
65
Nonparametric statistics
65
Stochastic volatility
61
Bayesian inference
59
Bayes-Statistik
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Market microstructure
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Statistical distribution
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Statistische Verteilung
53
Multivariate Analyse
45
Multivariate analysis
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Todorov, Viktor
14
McAleer, Michael
12
Tauchen, George Eugene
11
Asai, Manabu
9
Chan, Joshua
7
Yu, Jun
6
Bollerslev, Tim
5
Clark, Todd E.
5
Li, Jia
5
Marcellino, Massimiliano
5
Carriero, Andrea
4
Gouriéroux, Christian
4
Koopman, Siem Jan
4
Renault, Eric
4
Andersen, Torben
3
Aït-Sahalia, Yacine
3
Corsi, Fulvio
3
Creal, Drew
3
Kim, Donggyu
3
Kohn, Robert
3
Li, Wai Keung
3
Meyer, Renate
3
Omori, Yasuhiro
3
Poon, Aubrey
3
Renò, Roberto
3
Scharth, Marcel
3
Shephard, Neil G.
3
Wang, Yazhen
3
Xiu, Dacheng
3
Amengual, Dante
2
Bondarenko, Oleg
2
Boswijk, Herman Peter
2
Casarin, Roberto
2
Cavaliere, Giuseppe
2
Chang, Chia-Lin
2
Chib, Siddhartha
2
Dufour, Jean-Marie
2
Escobar, Marcos
2
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2
Francq, Christian
2
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Journal of econometrics
Econometric reviews
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Review of derivatives research
International journal of theoretical and applied finance
135
Quantitative finance
88
Applied mathematical finance
61
Discussion paper / Tinbergen Institute
56
The journal of computational finance
50
Mathematical finance : an international journal of mathematics, statistics and financial theory
49
Computational economics
48
Finance and stochastics
47
Journal of economic dynamics & control
46
European journal of operational research : EJOR
39
Journal of mathematical finance
38
Working paper
36
Finance research letters
35
Insurance / Mathematics & economics
35
International journal of financial engineering
35
Journal of banking & finance
35
Journal of financial econometrics : official journal of the Society for Financial Econometrics
32
Annals of finance
31
The journal of futures markets
31
Journal of empirical finance
30
Research paper series / Swiss Finance Institute
29
Energy economics
28
Risks : open access journal
28
Economics letters
27
The North American journal of economics and finance : a journal of financial economics studies
26
CAMA working paper series
24
Journal of risk and financial management : JRFM
23
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
23
CREATES research paper
22
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
22
Applied economics
20
Economic modelling
20
Journal of financial economics
18
NBER working paper series
18
The European journal of finance
18
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ECONIS (ZBW)
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1
A new Bayesian model for contagion and interdependence
Poon, Aubrey
;
Zhu, Dan
- In:
Econometric reviews
41
(
2022
)
7
,
pp. 806-826
Persistent link: https://www.econbiz.de/10013364908
Saved in:
2
Comparing stochastic volatility specifications for large Bayesian VARs
Chan, Joshua
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1419-1446
Persistent link: https://www.econbiz.de/10014471398
Saved in:
3
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:
4
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:
5
Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Wang, Xiaohu
;
Xiao, Weilin
;
Yu, Jun
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 389-415
Persistent link: https://www.econbiz.de/10014339985
Saved in:
6
Scalable inference for a full multivariate stochastic volatility model
Dellaportas, Petros
;
Titsias, Michalis K.
;
Petrova, Katerina
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 501-520
Persistent link: https://www.econbiz.de/10014340078
Saved in:
7
A statistical recurrent stochastic volatility model for stock markets
Trong-Nghia Nguyen
;
Minh-Ngoc Tran
;
Gunawan, David
; …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 414-428
Persistent link: https://www.econbiz.de/10014448201
Saved in:
8
Locally stationary multiplicative volatility modeling
Walsh, Christopher
;
Vogt, Michael
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 497-508
Persistent link: https://www.econbiz.de/10014448258
Saved in:
9
Large hybrid time-varying parameter VARs
Chan, Joshua
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 890-905
Persistent link: https://www.econbiz.de/10014448455
Saved in:
10
Can a machine correct option pricing models?
Almeida, Caio
;
Fan, Jianqing
;
Freire, Gustavo
;
Tang, …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 995-1009
Persistent link: https://www.econbiz.de/10014448492
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