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subject:"Stochastic process"
subject:"Time series analysis"
~institution:"National Bureau of Economic Research"
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Stochastic process
Time series analysis
Theorie
7,034
Theory
7,034
Geldpolitik
564
Monetary policy
563
Estimation
473
Schätzung
473
Welt
432
World
432
Welfare analysis
282
Wohlfahrtsanalyse
282
Business cycle
255
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255
Portfolio selection
243
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243
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211
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206
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206
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201
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190
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188
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182
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180
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180
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179
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English
101
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Stock, James H.
5
Watson, Mark W.
5
Engle, Robert F.
4
Campbell, John Y.
3
Christiano, Lawrence J.
3
Lo, Andrew W.
3
Obstfeld, Maurice
3
Abel, Andrew B.
2
Ait-Sahalia, Yacine
2
Andersen, Torben G.
2
Bekaert, Geert
2
Diebold, Francis X.
2
Froot, Kenneth A.
2
Harvey, Campbell R.
2
Hausman, Jerry A.
2
Heckman, James J.
2
Ito, Takatoshi
2
Lumsdaine, Robin L.
2
Nagel, Stefan
2
Quah, Danny
2
Schorfheide, Frank
2
Song, Dongho
2
Angrist, Joshua D.
1
Backus, David K.
1
Banerjee, Anindya
1
Barrett, Christopher B.
1
Basu, Susanto
1
Baxter, Marianne
1
Beaudry, Paul
1
Beaulieu, J. Joseph
1
Bianchi, Francesco
1
Bollerslev, Tim
1
Brandt, Michael W.
1
Brown, Scott J.
1
Bundick, Brent
1
Cai, Yongyang
1
Calvet, Laurent
1
Calvet, Laurent E.
1
Carroll, Christopher D.
1
Cheung, Yin-Wong
1
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National Bureau of Economic Research
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
84
Ekonomiska forskningsinstitutet <Stockholm>
43
European University Institute / Department of Economics
31
Centre for Analytical Finance <Århus>
16
Econometrisch Instituut <Rotterdam>
12
Umeå universitet
11
Springer Fachmedien Wiesbaden
9
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
7
Umeå Universitet / Institutionen för Nationalekonomi
7
University of Exeter / Department of Economics
7
Aarhus Universitet / Afdeling for Nationaløkonomi
6
Australian National University / Faculty of Economics and Commerce
6
Erasmus Research Institute of Management
6
European University Institute / Department of Law
6
Gottfried Wilhelm Leibniz Universität Hannover
6
London School of Economics and Political Science
6
Centre for Quantitative Economics & Computing
5
Christian-Albrechts-Universität zu Kiel
5
Ludwig-Maximilians-Universität München / Volkswirtschaftliche Fakultät
5
University of Cambridge / Department of Applied Economics
5
University of Strathclyde / Department of Economics
5
Escola de Pós-Graduação em Economia <Rio de Janeiro>
4
Institut für Höhere Studien
4
Shakai-Keizai-Kenkyūsho <Osaka>
4
Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
4
Universität Basel / Institut für Statistik und Ökonometrie
4
Birkbeck College / Department of Economics
3
Bonn Graduate School of Economics
3
Center for Economic Research <Tilburg>
3
Centre for Economic Policy Research
3
Conference on Applied Probability and Time Series Analysis <1995, Athen>
3
Eric Cuvillier <Firma>
3
Institut für Weltwirtschaft
3
Institutionen för Skogsekonomi <Ume°a>
3
Instituto Valenciano de Investigaciones Económicas
3
Judge Institute of Management Studies
3
Københavns Universitet / Økonomisk Institut
3
Norges Bank / Utredningsavdelingen
3
Organisation for Economic Co-operation and Development
3
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NBER working paper series
84
NBER technical working paper series
17
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ECONIS (ZBW)
101
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21
The Inefficient Markets Hypothesis : Why Financial Markets Do Not Work Well in the Real World
Farmer, Roger E.A.
-
2012
Existing literature continues to be unable to offer a convincing explanation for the volatility of the stochastic discount factor in real world data. Our work provides such an explanation. We do not rely on frictions, market in completeness or transactions costs of any kind. Instead, we modify a...
Persistent link: https://www.econbiz.de/10012460013
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22
Insider Trading, Stochastic Liquidity and Equilibrium Prices
Collin-Dufresne, Pierre
-
2012
We extend Kyle's (1985) model of insider trading to the case where liquidity provided by noise traders follows a general stochastic process. Even though the level of noise trading volatility is observable, in equilibrium, measured price impact is stochastic. If noise trading volatility is...
Persistent link: https://www.econbiz.de/10012460209
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23
An Intertemporal CAPM with Stochastic Volatility
Campbell, John Y.
-
2012
This paper studies the pricing of volatility risk using the first-order conditions of a long-term equity investor who is content to hold the aggregate equity market rather than tilting towards value stocks and other equity portfolios that are attractive to short-term investors. We show that a...
Persistent link: https://www.econbiz.de/10012460249
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24
Estimating Dynamic Equilibrium Models with Stochastic Volatility
Fernandez-Villaverde, Jesus
-
2012
We propose a novel method to estimate dynamic equilibrium models with stochastic volatility. First, we characterize the properties of the solution to this class of models. Second, we take advantage of the results about the structure of the solution to build a sequential Monte Carlo algorithm to...
Persistent link: https://www.econbiz.de/10012460260
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25
Continuous-Time Linear Models
Cochrane, John H.
-
2012
I translate familiar concepts of discrete-time time-series to contnuous-time equivalent. I cover lag operators, ARMA models, the relation between levels and differences, integration and cointegration, and the Hansen-Sargent prediction formulas
Persistent link: https://www.econbiz.de/10012460479
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26
The Ramsey Discounting Formula for a Hidden-State Stochastic Growth Process
Weitzman, Martin L.
-
2012
The long term discount rate is critically dependent upon projections of future growth rates that are fuzzier in proportion to the remoteness of the time horizon. This paper models such increasing fuzziness as an evolving hidden-state stochastic process. The underlying trend growth rate is an...
Persistent link: https://www.econbiz.de/10012460504
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27
Does Mutual Fund Performance Vary over the Business Cycle?
de Souza, André
-
2012
We develop a new methodology that allows conditional performance to be a function of information available at the start of the performance period but does not make assumptions about the behavior of the conditional betas. We use econometric techniques developed by Lynch and Wachter (2011) that...
Persistent link: https://www.econbiz.de/10012460522
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28
Parametric Inference and Dynamic State Recovery from Option Panels
Andersen, Torben G.
-
2012
We develop a new parametric estimation procedure for option panels observed with error which relies on asymptotic approximations assuming an ever increasing set of observed option prices in the moneyness- maturity (cross-sectional) dimension, but with a fixed time span. We develop consistent...
Persistent link: https://www.econbiz.de/10012460613
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29
Forecasts in a Slightly Misspecified Finite Order VAR
Müller, Ulrich K.
-
2011
We propose a Bayesian procedure for exploiting small, possibly long-lag linear predictability in the innovations of a finite order autoregression. We model the innovations as having a log-spectral density that is a continuous mean-zero Gaussian process of order 1/√T. This local embedding makes...
Persistent link: https://www.econbiz.de/10012461943
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30
Strategic Interaction Among Heterogeneous Price-Setters In An Estimated DSGE Model
Coibion, Olivier
-
2008
We consider a DSGE model in which firms follow one of four price-setting regimes: sticky prices, sticky-information, rule-of-thumb, or full-information flexible prices. The parameters of the model, including the fractions of each type of firm, are estimated by matching the moments of the...
Persistent link: https://www.econbiz.de/10012464325
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