Stochastic Volatility: Origins and Overview
Neil Shephard and
Torben Andersen
No 389, Economics Series Working Papers from University of Oxford, Department of Economics
Abstract:
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.
JEL-codes: C01 C14 C32 (search for similar items in EconPapers)
Date: 2008-03-01
New Economics Papers: this item is included in nep-ets, nep-hpe and nep-ore
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Citations: View citations in EconPapers (10)
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Related works:
Working Paper: Stochastic Volatility: Origins and Overview (2008) 
Working Paper: Stochastic Volatility: Origins and Overview (2008) 
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Persistent link: https://EconPapers.repec.org/RePEc:oxf:wpaper:389
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