EconPapers    
Economics at your fingertips  
 

Revealing the arcane: an introduction to the art of stochastic volatility models

Alexander Tsyplakov

MPRA Paper from University Library of Munich, Germany

Abstract: This essay is aimed to provide a straightforward and sufficiently accessible demonstration of some known procedures for stochastic volatility model. It reviews the important related concepts, gives informal derivations of the methods and can be useful as a cookbook for a novice. The exposition is confined to classical (non-Bayesian) framework and discrete-time formulations.

Keywords: stochastic; volatility (search for similar items in EconPapers)
JEL-codes: C13 C15 C22 C53 (search for similar items in EconPapers)
Date: 2010-09-28
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/25511/1/MPRA_paper_25511.pdf original version (application/pdf)

Related works:
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:pra:mprapa:25511

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().

 
Page updated 2021-07-09
Handle: RePEc:pra:mprapa:25511