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~subject:"Stochastic volatility"
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Stochastic volatility
Theorie
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Theory
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McAleer, Michael
29
Koopman, Siem Jan
26
Mumtaz, Haroon
26
Clark, Todd E.
24
Shephard, Neil
24
Barndorff-Nielsen, Ole E.
20
Karlsson, Sune
18
Asai, Manabu
17
Huber, Florian
15
Bos, Charles S.
13
Carriero, Andrea
13
Shin, Minchul
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Österholm, Pär
13
Chang, Chia-Lin
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Ravazzolo, Francesco
12
Chiarella, Carl
11
Marcellino, Massimiliano
11
Theodoridis, Konstantinos
10
Todorov, Viktor
10
Escobar, Marcos
9
Fernández-Villaverde, Jesús
9
Nakajima, Jouchi
9
Aastveit, Knut Are
8
Branger, Nicole
8
Guidolin, Massimo
8
McCracken, Michael W.
8
Mertens, Elmar
8
Peiris, Shelton
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Diebold, Francis X.
7
Li, Yong
7
Nguyen, Hoang
7
Omori, Yasuhiro
7
Schorfheide, Frank
7
Alòs, Elisa
6
Chan, Joshua
6
Crespo Cuaresma, Jesús
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Cross, Jamie
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Cui, Zhenyu
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Hol, Eugenie
6
Kang, Boda
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Economics Group, Nuffield College, University of Oxford
13
Department of Economics, Oxford University
11
Tinbergen Instituut
9
Tinbergen Institute
8
School of Economics and Finance, Queen Mary
7
School of Economics and Management, University of Aarhus
6
C.E.P.R. Discussion Papers
4
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
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Norges Bank
4
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Department of Econometrics and Business Statistics, Monash Business School
3
Department of Economics, University of Pennsylvania
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Grupo de Estudos Monetários e Financeiros (GEMF), Faculdade de Economia
3
HAL
3
Institute for Monetary and Economic Studies, Bank of Japan
3
Institute of Economic Research, Hitotsubashi University
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Department of Economics and Finance, College of Business and Economics
2
Dipartimento di Scienze Economiche, Facoltà di Economia
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Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", Università degli Studi di Firenze
2
EconWPA
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Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
2
London School of Economics (LSE)
2
National Bureau of Economic Research
2
School of Economics and Political Science, Universität St. Gallen
2
Society for Computational Economics - SCE
2
BBVA Research, Grupo BBVA
1
Bank of England
1
Banque de France
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Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ)
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Centrum voor Economische Studiën, Faculteit Economie en Bedrijfswetenschappen
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Crawford School of Public Policy, Australian National University
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Departamento de Economía, Universidad Carlos III de Madrid
1
Department of Economics and Business, Universitat Pompeu Fabra
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Department of Economics, Poole College of Management
1
Duke University, Department of Economics
1
Département de Sciences Économiques, Université de Montréal
1
Départment des sciences administratives, Université du Québec en Outaouais (UQO)
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Econometric Society
1
Economics Department, Queen's University
1
Erasmus University Rotterdam, Econometric Institute
1
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Journal of econometrics
34
Quantitative finance
29
Quantitative Finance
24
Journal of economic dynamics & control
22
Working Paper
21
International journal of theoretical and applied finance
18
Physica A: Statistical Mechanics and its Applications
18
Tinbergen Institute Discussion Papers
17
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
16
Working paper
16
Discussion paper / Tinbergen Institute
15
Energy economics
15
Finance and Stochastics
15
Economic modelling
14
Economics letters
14
Journal of banking & finance
14
Economics Papers / Economics Group, Nuffield College, University of Oxford
13
Finance research letters
13
Insurance / Mathematics & economics
12
Review of Derivatives Research
12
Computational economics
11
Economics Series Working Papers / Department of Economics, Oxford University
11
International journal of forecasting
11
The North American journal of economics and finance : a journal of financial economics studies
11
The journal of futures markets
11
Annals of Finance
10
Annals of finance
10
Tinbergen Institute Discussion Paper
10
Finance and stochastics
9
International Journal of Theoretical and Applied Finance (IJTAF)
9
European journal of operational research : EJOR
8
Journal of Econometrics
8
Review of derivatives research
8
Asia-Pacific Financial Markets
7
Computational Statistics & Data Analysis
7
International review of financial analysis
7
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
7
Working Papers / School of Economics and Finance, Queen Mary
7
CREATES Research Papers
6
Department of Economics working paper
6
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ECONIS (ZBW)
590
RePEc
346
EconStor
45
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1
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1
Affine Heston model style with self-exciting jumps and long memory
Leunga, Charles Guy Njike
;
Hainaut, Donatien
- In:
Annals of finance
20
(
2024
)
1
,
pp. 1-43
Persistent link: https://www.econbiz.de/10014566365
Saved in:
2
Approximate option pricing under a two-factor Heston-Kou stochastic volatility model
El-Khatib, Youssef
;
Makumbe, Zororo S.
;
Vives, Josep
- In:
Computational management science
21
(
2024
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10014393433
Saved in:
3
Decoding financial performance of US-listed entities : a sectoral exploration of input efficiency amid stochastic volatility
Andrews, Antony
;
Kumar, Nikeel Nishkar
- In:
Finance research letters
64
(
2024
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014531748
Saved in:
4
Economic policy uncertainty and stock market volatility in China : evidence from SV-MIDAS-t model
Wang, Nianling
;
Yin, Jiyuan
;
Li, Yong
- In:
International review of financial analysis
92
(
2024
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014492383
Saved in:
5
Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity
Pelagatti, Matteo
;
Sbrana, Giacomo
- In:
Quantitative finance
24
(
2024
)
3/4
,
pp. 451-464
Persistent link: https://www.econbiz.de/10014552077
Saved in:
6
Evolution of the exchange rate pass-through into prices in Peru : an empirical application using TVP-VAR-SV models
Rodriguez, Gabriel
;
Castillo B., Paul
;
Calero, Roberto
; …
- In:
Journal of international money and finance
142
(
2024
),
pp. 1-25
Persistent link: https://www.econbiz.de/10014549830
Saved in:
7
Non-linear volatility with normal inverse Gaussian innovations : ad-hoc analytic option pricing
Mozumder, Sharif
;
Talukdar, Bakhtear
;
Kabir, M. Humayun
; …
- In:
Review of quantitative finance and accounting
62
(
2024
)
1
,
pp. 97-133
Persistent link: https://www.econbiz.de/10014502965
Saved in:
8
Real-time forecast of DSGE models with time-varying volatility in GARCH form
Çekin, Semih Emre
;
Ivashchenko, Sergey
;
Gupta, Rangan
; …
- In:
International review of financial analysis
93
(
2024
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014543555
Saved in:
9
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/10014549675
Saved in:
10
Signal extraction by the extremum Monte Carlo method
Moussa, Karim
-
2024
Persistent link: https://www.econbiz.de/10014512213
Saved in:
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