Stochastic Volatility

Eric Ghysels (), Andrew Harvey and Eric Renault

Cahiers de recherche from Centre interuniversitaire de recherche en économie quantitative, CIREQ

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).

Keywords: FINANCIAL MARKET; INTERNATIONAL FINANCE; SHAREHOLDERS; STATISTICS (search for similar items in EconPapers)
JEL-codes: C00 G10 G11 G12 (search for similar items in EconPapers)
Pages: 68 pages
Date: 1996
References: Add references at CitEc
Citations: View citations in EconPapers (253)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: Stochastic Volatility (1996)
Working Paper: Stochastic Volatility (1995)
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:mtl:montec:9613

Access Statistics for this paper

More papers in Cahiers de recherche from Centre interuniversitaire de recherche en économie quantitative, CIREQ Contact information at EDIRC.
Bibliographic data for series maintained by Sharon BREWER ().