Stochastic Volatility: Origins and Overview

In this paper we review the history and recent developments of stochastic volatility, which is the main way financial economists and mathematical finance specialists model time varying volatility.

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Year of publication:	2008-03-01
Authors:	Shephard, Neil ; Andersen, Torben G.
Institutions:	Department of Economics, Oxford University

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Extent:	application/pdf
Series:	Economics Series Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 389
Classification:	C01 - Econometrics ; C14 - Semiparametric and Nonparametric Methods ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005051124