Stochastic Volatility

Eric Ghysels (), Andrew C. Harvey and E. Renault

Cahiers de recherche from Universite de Montreal, Departement de sciences economiques

Abstract: This paper prepared for the Handbook of Statistics (Vol.14: "Statistical Methods in Finance"), surveys the subject of stochastic volatility. the following subjects are covered: volatility in financial markets (instantaneous volatility of asset returns, implied volatilities in option prices and related stylized facts), statistical modelling in discrete and continuous time and, finally, statistical inference (methods of moments, quasi-maximum likelihood, likelihood-based and bayesian methods and indirect inference).

JEL-codes: C00 G10 G11 G12 (search for similar items in EconPapers)
Date: 1996
View citations in EconPapers

Downloads: (external link)
http://hdl.handle.net/1866/2066 (application/pdf)

Related works:
Working Paper: Stochastic Volatility (1996)
Working Paper: Stochastic Volatility (1995)
Working Paper: Stochastic Volatility (1995)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:mtl:montde:9613

Access Statistics for this paper

More papers in Cahiers de recherche from Universite de Montreal, Departement de sciences economiques
Contact information at EDIRC.
Series data maintained by Sharon BREWER ().