On the link between volatility and growth Olaf Posch(a) and Klaus W¨alde(b) (a) Aarhus University and CREATES, CESifo (b) University of Mainz, CESifo, and UCL Louvain la Neuve∗

Source URL: www.oposch.com

• Technical analysis
• Stochastic processes
• Volatility
• Poisson process
• Neoclassical growth model
• Real business cycle theory
• Statistics
• Macroeconomics
• Mathematical finance

DELFT UNIVERSITY OF TECHNOLOGY REPORTOn Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates Lech A. Grzelak, Cornelis W. Oosterlee

Source URL: www.ewi.tudelft.nl

• Mathematical sciences
• Hull–White model
• Heath–Jarrow–Morton framework
• Normal distribution
• LIBOR market model
• Short-rate model
• Forward measure
• Heston model
• Stochastic volatility
• Mathematical finance
• Statistics
• Financial economics

Drifts and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S.∗ Timothy Cogley Arizona State University Thomas J. Sargent New York University and Hoover Institution

Source URL: www.tomsargent.com

• Time series analysis
• Stochastic volatility
• Variance
• Loss function
• Volatility
• Markov chain
• Economic model
• Unit root
• Prior probability
• Statistics
• Econometrics
• Mathematical finance

DELFT UNIVERSITY OF TECHNOLOGY REPORTAn Equity-Interest Rate Hybrid Model With Stochastic Volatility And The Interest Rate Smile Lech A. Grzelak, Cornelis W. Oosterlee

Source URL: www.ewi.tudelft.nl

• Finance
• Hull–White model
• LIBOR market model
• Heston model
• Stochastic volatility
• Local volatility
• Short-rate model
• Forward measure
• Cox–Ingersoll–Ross model
• Mathematical finance
• Financial economics
• Statistics

Estimation of affine term structure models with spanned or unspanned stochastic volatility

Source URL: faculty.chicagobooth.edu

• Mathematical finance
• Bayesian statistics
• Maximum likelihood
• Expectation–maximization algorithm
• Likelihood-ratio test
• Stochastic volatility
• Autoregressive conditional heteroskedasticity
• Likelihood function
• Statistics
• Estimation theory
• Statistical theory

DELFT UNIVERSITY OF TECHNOLOGY REPORTExtension of Stochastic Volatility Models with Hull-White Interest Rate Process L.A. Grzelak, C.W. Oosterlee, S. van Weeren

Source URL: www.ewi.tudelft.nl

TIIII Tinbergen Institute Discussion Paper A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard

Source URL: www.ssc.upenn.edu

Online Appendix to “Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility” Drew D. Creal Chicago Booth Jing Cynthia Wu

Source URL: faculty.chicagobooth.edu

Discussion Paper SeriesAsymptotic Analysis for Stochastic Volatility: Edgeworth Expansion Masaaki Fukasawa

Source URL: www-csfi.sigmath.es.osaka-u.ac.jp

Stochastic Volatility with Reset at Jumps Jun Pan December 18, 1997 Abstract This paper presents a model for asset returns incorporating both stochastic volatility and jump eects. The return process is driven by

Source URL: www.mit.edu