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Stochastic volatility
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1	Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans∗ Martin Richter Carsten Sørensen Add to Reading List Source URL: www.bbk.ac.uk - Date: 2007-03-27 13:47:23
2	Using MCMC and particle filters to forecast stochastic volatility and jumps in financial time series Ing. Milan Fičura Add to Reading List Source URL: dyme.vse.cz - Date: 2016-06-24 17:10:28
3	Measuring Price-Level Uncertainty and Instability in the U.S., ∗ Timothy Cogley†and Thomas J. Sargent‡ August 4, 2014 Abstract Add to Reading List Source URL: www.tomsargent.com Language: English - Date: 2015-04-08 13:04:21 Economy Mathematical finance Statistics Macroeconomics Inflation Prior probability Stochastic volatility Volatility Standard deviation Price index The Humane Society of the United States
4	Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty Add to Reading List Source URL: www.federalreserve.gov Language: English - Date: 2010-03-22 12:53:13 Economy Mathematical finance Finance Money Stochastic volatility Variance risk premium Variance swap VIX Risk premium Volatility Equity premium puzzle Implied volatility
5	Microsoft Word - EBVM13docx Add to Reading List Source URL: www.nccr-finrisk.uzh.ch Language: English - Date: 2016-02-22 11:42:31 Mathematical finance Applied mathematics Economy Academia Volatility Autoregressive conditional heteroskedasticity Stochastic volatility Implied volatility
6	A Hidden Markov Stochastic Volatility Model for Energy Prices Robert J. Elliott∗ Tao Lin† Hong Miao‡ To describe the complex behavior of energy prices, we propose a stochastic volatility model, where Add to Reading List Source URL: www.bbk.ac.uk Language: English - Date: 2007-03-27 13:47:21 Mathematical finance Economy Applied mathematics Finance Volatility Stochastic volatility OrnsteinUhlenbeck process Benchmark CoxIngersollRoss model International Petroleum Exchange Volatility smile Implied volatility
7	Studies in Nonlinear Dynamics & Econometrics Volume 10, Issue Add to Reading List Source URL: www.istfin.eco.usi.ch Language: English - Date: 2009-01-27 08:13:32 Statistics Mathematical analysis Probability Mathematical finance Stochastic processes Options Markov models Autoregressive conditional heteroskedasticity Time series analysis Stochastic volatility Markov chain Time series
8	THE TIME VARYING VOLATILITY OF MACROECONOMIC FLUCTUATIONS ALEJANDRO JUSTINIANO AND GIORGIO E. PRIMICERI Abstract. We investigate the sources of the important shifts in the volatility of U.S. macroeconomic variables in th Add to Reading List Source URL: faculty.wcas.northwestern.edu Language: English - Date: 2007-09-16 21:14:06 Mathematical finance Economics Applied mathematics Academia Dynamic stochastic general equilibrium Volatility Autoregressive conditional heteroskedasticity Stochastic volatility
9	Quantitative Finance, Vol. 5, No. 2, April 2005, 153–168 Surprise volume and heteroskedasticity in equity market returns NIKLAS WAGNERy and TERRY A. MARSHz§ yMunich University of Technology, Germany Add to Reading List Source URL: www.wiwi.uni-passau.de Language: English* - Date: 2010-04-05 09:26:52 Statistics Time series analysis Mathematical finance Analysis Technical analysis Data analysis Options Autoregressive conditional heteroskedasticity Stochastic volatility Regression analysis Volatility Quantitative analyst
10	Stochastic Market Efficiency Ole Peters Alexander Adamou SFI WORKING PAPER: Add to Reading List Source URL: www.santafe.edu Language: English - Date: 2013-06-06 13:23:29 Economy Finance Money Debt Financial ratios Mathematical finance Financial markets Financial economics Leverage Volatility Futures contract Efficient-market hypothesis

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