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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
All
Article
181
Book / Working Paper
156
Other
2
Type of publication (narrower categories)
All
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
All
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
101
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110
of
339
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101
Heston-type stochastic volatility with a Markov switching regime
Elliott, Robert J.
;
Nishide, Katsumasa
;
Osakwe, …
- In:
The journal of futures markets
36
(
2016
)
9
,
pp. 902-919
Persistent link: https://www.econbiz.de/10011568671
Saved in:
102
Nominal stability and Swiss monetary regimes over two centuries
Kaufmann, Daniel
-
2015
nominal GDP changes. The trends of these indicators are estimated by an unobserved-components
stochastic-volatility
model
in …
Persistent link: https://www.econbiz.de/10011307782
Saved in:
103
Trend fundamentals and exchange rate dynamics
Huber, Florian
;
Kaufmann, Daniel
-
2015
We estimate a multivariate unobserved components-
stochastic
volatility
model
to explain the dynamics of a panel of six …
Persistent link: https://www.econbiz.de/10011417862
Saved in:
104
Testing for time variation in an unobserved components model for the US economy
Berger, Tino
;
Everaert, Gerdie
;
Vierke, Hauke
-
2015
Persistent link: https://www.econbiz.de/10010515386
Saved in:
105
US monetary policy in a globalized world
Crespo Cuaresma, Jesús
;
Doppelhofer, Gernot
; …
-
2015
Persistent link: https://www.econbiz.de/10011421835
Saved in:
106
Alternative formulations of the leverage effect in a
stochastic
volatility
model
with asymmetric heavy-tailed errors
Deschamps, Philippe J.
-
2015
Persistent link: https://www.econbiz.de/10011289959
Saved in:
107
Essays on higher order approximation solution methods for DSGE models
Lan, Hong
-
2015
Persistent link: https://www.econbiz.de/10011334249
Saved in:
108
Zur Prognose des Value-at-Risk und Expected Shortfall mit zeitdiskreten Stochastic-Volatility-Modellen : empirische Ergebnisse für Finanzmarktzeitreihen
Dimitrov, Valentin S.
-
2015
Persistent link: https://www.econbiz.de/10011343772
Saved in:
109
Trend fundamentals and exchange rate dynamics
Huber, Florian
;
Kaufmann, Daniel
-
2015
We estimate a multivariate unobserved components-
stochastic
volatility
model
to explain the dynamics of a panel of six …
Persistent link: https://www.econbiz.de/10011326550
Saved in:
110
Measurement errors and monetary policy : then and now
Amir Ahmadi, Pooyan
;
Matthes, Christian
;
Wang, Mu-Chun
-
2015
Persistent link: https://www.econbiz.de/10011472366
Saved in:
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