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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
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2
Collection of articles of several authors
2
Sammelwerk
2
Systematic review
1
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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
71
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339
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71
Realized stochastic volatility with general asymmetry and long memory
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
-
2017
-
Revised: April 2017
Persistent link: https://www.econbiz.de/10011659228
Saved in:
72
Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors
Clark, Todd E.
-
2017
, our
stochastic-volatility
model
improves the accuracy of uncertainty measures for survey forecasts …
Persistent link: https://www.econbiz.de/10012946957
Saved in:
73
Malliavin differentiability of CEV-type Heston model
Tsumurai, Shota
- In:
Journal of mathematical finance
10
(
2020
)
1
,
pp. 173-199
Persistent link: https://www.econbiz.de/10012545592
Saved in:
74
Correlations among cryptocurrencies : evidence from multivariate factor
stochastic
volatility
model
Shi, Yongjing
;
Tiwari, Aviral Kumar
;
Gozgor, Giray
;
Lu, Zhou
- In:
Research in international business and finance
53
(
2020
),
pp. 1-11
Persistent link: https://www.econbiz.de/10012549821
Saved in:
75
Triple regime
stochastic
volatility
model
with threshold and leverage effects
Han, Heejoon
;
Lee, Eunhee
- In:
The Korean economic review
36
(
2020
)
2
,
pp. 481-509
Persistent link: https://www.econbiz.de/10013273019
Saved in:
76
Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility
Yan, Tingjin
;
Han, Bingyan
;
Pun, Chi Seng
;
Wong, Hoi Ying
- In:
Mathematics and financial economics
14
(
2020
)
4
,
pp. 699-724
Persistent link: https://www.econbiz.de/10012321867
Saved in:
77
Static hedges of barrier options under fast mean-reverting stochastic volatility
Huh, Jeonggyu
;
Jeon, Jaegi
;
Ma, Yong-Ki
- In:
Computational economics
55
(
2020
)
1
,
pp. 185-210
Persistent link: https://www.econbiz.de/10012222596
Saved in:
78
Modeling time-varying uncertainty of multiple-horizon forecast errors
Clark, Todd E.
;
McCracken, Michael W.
;
Mertens, Elmar
- In:
The review of economics and statistics
102
(
2020
)
1
,
pp. 17-33
Persistent link: https://www.econbiz.de/10012208035
Saved in:
79
Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility
Yan, Tingjin
;
Wong, Hoi Ying
- In:
Insurance / Mathematics & economics
90
(
2020
),
pp. 105-119
Persistent link: https://www.econbiz.de/10012169507
Saved in:
80
Dual control Monte-Carlo method for tight bounds of value function under Heston
stochastic
volatility
model
Ma, Jingtang
;
Li, Wenyuan
;
Zheng, Harry
- In:
European journal of operational research : EJOR
280
(
2020
)
2
,
pp. 428-440
Persistent link: https://www.econbiz.de/10012132415
Saved in:
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