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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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Related works:
Working Paper: Stochastic Volatility: Origins and Overview (2008) Downloads
Working Paper: Stochastic Volatility: Origins and Overview (2008) Downloads
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