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~isPartOf:"Applied economics"
~isPartOf:"European journal of operational research : EJOR"
~isPartOf:"Journal of econometrics"
~subject:"Börsenkurs"
~subject:"Kapitaleinkommen"
~subject:"Theorie"
~subject:"Volatility"
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Search: subject:"Stochastic Volatility"
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Börsenkurs
Kapitaleinkommen
Theorie
Volatility
Volatilität
73
Stochastic process
67
Stochastischer Prozess
67
Stochastic volatility
43
Estimation
27
Schätzung
27
Theory
25
Option pricing theory
22
Optionspreistheorie
22
Time series analysis
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stochastic volatility
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McAleer, Michael
6
Tauchen, George Eugene
6
Todorov, Viktor
6
Asai, Manabu
4
Andersen, Torben
3
Chang, Chia-Lin
3
Li, Jia
3
Aït-Sahalia, Yacine
2
Bondarenko, Oleg
2
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2
Chan, Joshua
2
Clark, Todd E.
2
Kyriakou, Ioannis
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Li, Chenxu
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2
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1
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1
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1
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Applied economics
European journal of operational research : EJOR
Journal of econometrics
International journal of theoretical and applied finance
65
Quantitative finance
39
Discussion paper / Tinbergen Institute
38
Journal of economic dynamics & control
27
CAMA working paper series
22
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
22
Working paper
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Applied mathematical finance
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Energy economics
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Journal of banking & finance
20
Computational economics
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Finance research letters
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The journal of computational finance
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Journal of risk and financial management : JRFM
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The North American journal of economics and finance : a journal of financial economics studies
16
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15
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
15
Economic modelling
14
Finance and stochastics
14
International journal of financial engineering
14
Risks : open access journal
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Tinbergen Institute Discussion Paper
14
International journal of forecasting
13
The journal of futures markets
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Discussion papers / CEPR
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Econometric reviews
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
11
Review of derivatives research
11
Annals of finance
10
Documento de trabajo
10
International review of economics & finance : IREF
9
Mathematical finance : an international journal of mathematics, statistics and financial economics
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9
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ECONIS (ZBW)
73
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1
Is Bitcoin really a currency? : a viewpoint of a
stochastic
volatility
model
Kunimoto, Noriyuki
;
Kakamu, Kazuhiko
- In:
Applied economics
54
(
2022
)
57
,
pp. 6536-6550
Persistent link: https://www.econbiz.de/10013494160
Saved in:
2
Realized matrix-exponential
stochastic
volatility
with asymmetry, long memory and higher-moment spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
Saved in:
3
Flexible markov-switching models with evolving regime-specific parameters : an application to Brazilian business cycles
Gomes, Fábio A.
;
Melo, Lívia C. M.
;
Soave, Gian Paulo
- In:
Applied economics
56
(
2024
)
14
,
pp. 1705-1722
Persistent link: https://www.econbiz.de/10014473203
Saved in:
4
Bettors' reaction to match dynamics : evidence from in-game betting
Michels, Rouven
;
Ötting, Marius
;
Langrock, Roland
- In:
European journal of operational research : EJOR
310
(
2023
)
3
,
pp. 1118-1127
Persistent link: https://www.econbiz.de/10014471117
Saved in:
5
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:
6
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:
7
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:
8
Dynamics and synchronization of global equilibrium interest rates
Beyer, Robert
;
Milivojević, Lazar
- In:
Applied economics
55
(
2023
)
28
,
pp. 3195-3214
Persistent link: https://www.econbiz.de/10014299143
Saved in:
9
Robust consumption and portfolio choice with derivatives trading
Wei, Pengyu
;
Yang, Charles
;
Zhuang, Yi
- In:
European journal of operational research : EJOR
304
(
2023
)
2
,
pp. 832-850
Persistent link: https://www.econbiz.de/10013534570
Saved in:
10
Option pricing in an investment risk-return setting
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
;
Shirvani, …
- In:
Applied economics
54
(
2022
)
14
,
pp. 1625-1638
Persistent link: https://www.econbiz.de/10012875529
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