Stochastic volatility

Results: 470



#Item
171Welfare economics / New classical macroeconomics / Technical analysis / Volatility / Real business cycle theory / Economic growth / Economic model / Macroeconomic model / Inflation / Macroeconomics / Economics / Mathematical finance

Stochastic Terms of Trade Volatility in Small Open Economies

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Source URL: www.rba.gov.au

Language: English - Date: 2015-02-02 16:47:55
172Mathematical sciences / Volatility / Realized kernel / Realized variance / Instrumental variable / Stochastic volatility / Bid–offer spread / Endogeneity / Estimation theory / Mathematical finance / Economics / Statistics

Working Paper/Document de travail[removed]Volatility and Liquidity Costs by Selma Chaker

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Source URL: www.bankofcanada.ca

Language: English - Date: 2013-08-20 09:16:29
173Options / Business / Stochastic volatility / Risk-neutral measure / Mergers and acquisitions / Mathematical finance / Financial economics / Finance

Uncertainty shocks, asset supply and pricing over the business cycle

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Source URL: www.rba.gov.au

Language: English - Date: 2013-12-12 01:51:32
174Mathematical finance / Technical analysis / Volatility / Economic model / Gross domestic product / Real estate bubble / Stochastic differential equation / Subprime mortgage crisis / Normal distribution / Statistics / Economics / Economic bubbles

Microsoft Word - WP No.15_2011.doc

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Source URL: www.hkimr.org

Language: English - Date: 2012-09-14 03:30:32
175Computing / Altix / Stochastic volatility / Volatility / OpenMP / Heston model / Option / Implied volatility / Quantitative analyst / Mathematical finance / Financial economics / Finance

W H I T E P A P E R Zircon Adaptive Software on SGI Altix UV 1000

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Source URL: www.sgi.com

Language: English - Date: 2010-12-07 16:28:53
176Statistics / Stochastic volatility / Volatility / Stochastic / Chartism / Option / Technical analysis / Markov chain / Financial economics / Mathematical finance / Finance

Why a Simple Herding Model May Generate the Stylized Facts of Daily Returns: Explanation and Estimation Reiner Franke and Frank Westerhoff

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Source URL: www.uni-bamberg.de

Language: English - Date: 2011-12-12 07:50:00
177Mathematical sciences / Volatility / Stochastic volatility / Markov chain / Economic model / Normal distribution / Autoregressive conditional heteroskedasticity / Random walk / Markov switching multifractal / Statistics / Mathematical finance / Financial economics

Structural Stochastic Volatility in Asset Pricing Dynamics: Estimation and Model Contest Reiner Franke Frank Westerhoff

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Source URL: www.uni-bamberg.de

Language: English - Date: 2011-04-13 05:36:57
178Economics / Econometrics / Mathematical sciences / Technical analysis / Options / Stochastic volatility / Volatility / Economic model / Markov chain / Statistics / Mathematical finance / Estimation theory

Estimation of a Structural Stochastic Volatility Model of Asset Pricing Reiner Franke a,∗ Frank Westerhoff b November 2009 a

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Source URL: www.uni-bamberg.de

Language: English - Date: 2011-02-20 13:59:39
179Investment / Stochastic volatility / Volatility / Technical analysis / Stochastic / Chartism / Option / Markov chain / Financial economics / Mathematical finance / Finance

Why a Simple Herding Model May Generate the Stylized Facts of Daily Returns: Explanation and Estimation Reiner Franke and Frank Westerhoff

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Source URL: www.uni-bamberg.de

Language: English - Date: 2011-12-12 04:38:37
180Matrix theory / Singular value decomposition / Spectral theory / Operator theory / Eigenvalues and eigenvectors / Eigenfunction / Heat equation / Spectral theorem / Spectrum / Algebra / Mathematics / Linear algebra

Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models Jean-Pierre Fouque, Sebastian Jaimungal, Matthew Lorig June 20, 2010 What is Spectral Theory?

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Source URL: www.fields.utoronto.ca

Language: English - Date: 2010-06-21 15:19:58
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