Stellar coronal mass ejections (CMEs) are a growing research field, especially during the past decade. The large number of so far detected exoplanets raises the open question for the CME activity of stars, as CMEs may strongly affect exoplanetary atmospheres. In addition, as CMEs contribute to stellar mass and angular momentum loss and are therefore relevant for stellar evolution, there is a need for a better characterization of this phenomenon. In this article we review the different methodologies used up to now to attempt the detection of stellar CMEs. We discuss the limitations of the different methodologies and conclude with possible future perspectives of this research field.