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Search: subject:"Stochastic Volatility model"
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Subject
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Stochastic volatility
142
Stochastische Volatilität
142
Volatilität
139
Volatility
136
Stochastic process
129
Stochastischer Prozess
129
Theorie
84
Theory
84
Option pricing theory
78
Optionspreistheorie
78
Stochastic volatility model
64
Prognoseverfahren
46
Forecasting model
44
stochastic volatility model
40
Monte Carlo simulation
34
Monte-Carlo-Simulation
34
Estimation
31
Schätzung
30
Bayesian inference
28
Bayes-Statistik
26
Zeitreihenanalyse
26
ARCH model
25
ARCH-Modell
25
Time series analysis
25
Markov chain
24
Markov-Kette
23
Welt
22
World
22
VAR model
21
VAR-Modell
21
Economic forecast
18
Wirtschaftsprognose
18
USA
17
United States
17
Capital market returns
16
Kapitalmarktrendite
16
State space model
16
Estimation theory
15
Portfolio selection
15
Portfolio-Management
15
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Online availability
All
Free
153
Undetermined
118
Type of publication
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Article
181
Book / Working Paper
156
Other
2
Type of publication (narrower categories)
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Article in journal
130
Aufsatz in Zeitschrift
130
Working Paper
80
Graue Literatur
78
Non-commercial literature
78
Arbeitspapier
69
Hochschulschrift
11
Article
8
Aufsatz im Buch
6
Book section
6
Thesis
5
Collection of articles written by one author
4
Sammlung
4
Aufsatzsammlung
2
Collection of articles of several authors
2
Sammelwerk
2
Systematic review
1
Übersichtsarbeit
1
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Language
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English
277
Undetermined
59
German
3
Author
All
Huber, Florian
17
McAleer, Michael
17
Clark, Todd E.
14
Asai, Manabu
13
Koopman, Siem Jan
11
Jungbacker, Borus
10
Kaufmann, Daniel
10
Escobar, Marcos
8
McCracken, Michael W.
8
Mertens, Elmar
8
Chang, Chia-Lin
7
Diebold, Francis X.
7
Kobayashi, Masahito
7
Schorfheide, Frank
7
Shin, Minchul
7
Aastveit, Knut Are
6
Carriero, Andrea
6
Chiarella, Carl
6
Crespo Cuaresma, Jesús
6
Peiris, Shelton
6
Xu, Dinghai
6
Neto, David
5
Sardy, Sylvain
5
Takahashi, Akihiko
5
Alòs, Elisa
4
Chen, Jinghui
4
Grasselli, Martino
4
Hol, Eugenie
4
Kang, Boda
4
Li, Minqiang
4
Marcellino, Massimiliano
4
Platen, Eckhard
4
Spokoiny, Vladimir G.
4
Baldeaux, Jan
3
Chan, Leunglung
3
Chen, Jun-Home
3
Cheng, Yuyang
3
Chiba, Masaru
3
Doppelhofer, Gernot
3
Feldkircher, Martin
3
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Institution
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Society for Computational Economics - SCE
3
Tinbergen Institute
3
Tinbergen Instituut
3
Université Paris-Dauphine (Paris IX)
3
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
3
Econometric Society
2
Institut d'Economie et Econométrie, Université de Genève
2
National Bureau of Economic Research
2
School of Economics and Management, University of Aarhus
2
Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
2
Birkbeck, Department of Economics, Mathematics & Statistics
1
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
1
Department of Economics and Business, Universitat Pompeu Fabra
1
Department of Economics, University of Victoria
1
Department of Economics, University of Waterloo
1
EconWPA
1
EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X)
1
HAL
1
Hong Kong Institute for Monetary Research (HKIMR), Government of Hong Kong
1
Institute for Monetary and Economic Studies, Bank of Japan
1
KOF Swiss Economic Institute, Department of Management, Technology and Economics (D-MTEC)
1
Technische Universität Dresden
1
Universität Trier
1
Université Paris-Dauphine
1
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Published in...
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International journal of theoretical and applied finance
19
The journal of futures markets
11
Discussion paper / Tinbergen Institute
9
Quantitative finance
7
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
7
Department of Economics working paper
6
Econometric Institute research papers
6
Journal of econometrics
6
Tinbergen Institute Discussion Papers
6
International journal of financial engineering
5
Discussion paper / Centre for Economic Policy Research
4
European journal of operational research : EJOR
4
International Journal of Theoretical and Applied Finance (IJTAF)
4
Journal of Risk and Financial Management
4
Journal of risk and financial management : JRFM
4
Computational Statistics & Data Analysis
3
Discussion Paper
3
Economics Papers from University Paris Dauphine
3
Federal Reserve Bank of Cleveland working paper series
3
Finance and Stochastics
3
Finance research letters
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Journal of mathematical finance
3
Journal of risk
3
MPRA Paper
3
Review of Derivatives Research
3
Tinbergen Institute Discussion Paper
3
Working paper
3
Applied Econometrics
2
CESifo working papers
2
CORE discussion papers : DP
2
CREATES Research Papers
2
Cahiers du Département d'Econométrie
2
Economic modelling
2
Energy economics
2
European Journal of Operational Research
2
Financial Innovation
2
Financial innovation : FIN
2
Insurance / Mathematics & economics
2
Insurance: Mathematics and Economics
2
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Source
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ECONIS (ZBW)
244
RePEc
72
EconStor
19
BASE
4
Showing
121
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130
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339
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121
Walk on the wild side : temporarily unstable paths and multiplicative sunspots
Ascari, Guido
;
Bonomolo, Paolo
;
Lopes, Hedibert Freitas
- In:
The American economic review
109
(
2019
)
5
,
pp. 1805-1842
Persistent link: https://www.econbiz.de/10012013577
Saved in:
122
Macroeconomic uncertainty through the lens of professional forecasters
Jo, Soojin
;
Sekkel, Rodrigo
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
3
,
pp. 436-446
Persistent link: https://www.econbiz.de/10012178186
Saved in:
123
Short-time near-the-money skew in rough fractional volatility models
Bayer, Christian
;
Friz, Peter K.
;
Gulisashvili, Archil
; …
- In:
Quantitative finance
19
(
2019
)
5
,
pp. 779-798
Persistent link: https://www.econbiz.de/10012194716
Saved in:
124
Leverage effects and stochastic volatility in spot oil returns : a Bayesian approach with VaR and CVaR applications
Chen, Liyuan
;
Zerilli, Paola
;
Baum, Christopher F.
- In:
Energy economics
79
(
2019
),
pp. 111-129
Persistent link: https://www.econbiz.de/10012172264
Saved in:
125
Crude oil price shocks and hedging performance : a comparison of volatility models
Chun, Dohyun
;
Cho, Hoon
;
Kim, Jihun
- In:
Energy economics
81
(
2019
),
pp. 1132-1147
Persistent link: https://www.econbiz.de/10012173083
Saved in:
126
Spot price modelling of industrial metals :an heterogeneous agent based model for copper
Geman, Hélyette
;
Scheiber, Matthias
-
2014
Persistent link: https://www.econbiz.de/10010366820
Saved in:
127
Have standard VARs remained stable since the crisis?
Aastveit, Knut Are
;
Carriero, Andrea
;
Clark, Todd E.
; …
-
2014
Persistent link: https://www.econbiz.de/10010403081
Saved in:
128
Have standard VARs remained stable since the crisis?
Aastveit, Knut Are
;
Carriero, Andrea
;
Clark, Todd E.
; …
-
2014
Persistent link: https://www.econbiz.de/10010406729
Saved in:
129
Forecasting global equity indices using large Bayesian VARs
Huber, Florian
;
Krisztin, Tamás
;
Piribauer, Philipp
-
2014
Persistent link: https://www.econbiz.de/10010480996
Saved in:
130
Density forecasting using Bayesian global vector autoregressions with common stochastic volatility
Huber, Florian
-
2014
Persistent link: https://www.econbiz.de/10010480999
Saved in:
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