Stochastic Volatility

Eric Ghysels (), Andrew Harvey and Eric 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)
Pages: 68 pages
Date: 1996
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (251)

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)
Working Paper: Stochastic Volatility (1995)
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Persistent link: https://EconPapers.repec.org/RePEc:mtl:montde:9613

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