Revealing the arcane: an introduction to the art of stochastic volatility models
MPRA Paper from University Library of Munich, Germany
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)
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