Stochastic Volatility

Eric Ghysels, Andrew Harvey and Eric Renault
Additional contact information
Eric Ghysels: C.R.D.E, Université de Montréal and CIRANO, Montréal

No 1995069, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: This paper contains a survey of the recent literature on the class of stochastic volatility models in finance, with an emphasis on statistical modeling of volatility.

Date: 1995-12-01
References: Add references at CitEc
Citations: View citations in EconPapers (14)

Downloads: (external link)
https://sites.uclouvain.be/core/publications/coredp/coredp1995.html (text/html)

Related works:
Working Paper: Stochastic Volatility (1996)
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: https://EconPapers.repec.org/RePEc:cor:louvco:1995069

Access Statistics for this paper

More papers in LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Voie du Roman Pays 34, 1348 Louvain-la-Neuve (Belgium). Contact information at EDIRC.
Bibliographic data for series maintained by Alain GILLIS ().