Stochastic volatility

Results: 470



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1Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans∗ Martin Richter Carsten Sørensen

Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans∗ Martin Richter Carsten Sørensen

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Source URL: www.bbk.ac.uk

- Date: 2007-03-27 13:47:23
    2Using MCMC and particle filters to forecast stochastic volatility and jumps in financial time series Ing. Milan Fičura

    Using MCMC and particle filters to forecast stochastic volatility and jumps in financial time series Ing. Milan Fičura

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    Source URL: dyme.vse.cz

    - Date: 2016-06-24 17:10:28
      3Measuring Price-Level Uncertainty and Instability in the U.S., ∗ Timothy Cogley†and Thomas J. Sargent‡ August 4, 2014 Abstract

      Measuring Price-Level Uncertainty and Instability in the U.S., ∗ Timothy Cogley†and Thomas J. Sargent‡ August 4, 2014 Abstract

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      Source URL: www.tomsargent.com

      Language: English - Date: 2015-04-08 13:04:21
      4Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty

      Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty

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      Source URL: www.federalreserve.gov

      Language: English - Date: 2010-03-22 12:53:13
      5Microsoft Word - EBVM13docx

      Microsoft Word - EBVM13docx

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      Source URL: www.nccr-finrisk.uzh.ch

      Language: English - Date: 2016-02-22 11:42:31
      6A 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

      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

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      Source URL: www.bbk.ac.uk

      Language: English - Date: 2007-03-27 13:47:21
      7Studies in Nonlinear Dynamics & Econometrics Volume 10, Issue

      Studies in Nonlinear Dynamics & Econometrics Volume 10, Issue

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      Source URL: www.istfin.eco.usi.ch

      Language: English - Date: 2009-01-27 08:13:32
      8THE 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

      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

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      Source URL: faculty.wcas.northwestern.edu

      Language: English - Date: 2007-09-16 21:14:06
      9Quantitative Finance, Vol. 5, No. 2, April 2005, 153–168 Surprise volume and heteroskedasticity in equity market returns NIKLAS WAGNER*y and TERRY A. MARSHz§ yMunich University of Technology, Germany

      Quantitative Finance, Vol. 5, No. 2, April 2005, 153–168 Surprise volume and heteroskedasticity in equity market returns NIKLAS WAGNER*y and TERRY A. MARSHz§ yMunich University of Technology, Germany

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      Source URL: www.wiwi.uni-passau.de

      Language: English - Date: 2010-04-05 09:26:52
      10Stochastic Market Efficiency Ole Peters Alexander Adamou SFI WORKING PAPER:

      Stochastic Market Efficiency Ole Peters Alexander Adamou SFI WORKING PAPER:

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      Source URL: www.santafe.edu

      Language: English - Date: 2013-06-06 13:23:29