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Stochastic Volatility

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  • Eric Ghysels

    ()

  • Andrew Harvey
  • Éric Renault

    ()

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). Cet article, préparé pour le Handbook of Statistics , vol. 14, Statistical Methods in Finance, passe en revue les modèles de volatilité stochastique. On traite les sujets suivants : volatilité des actifs financiers (volatilité instantanée des rendements d'actifs, volatilités implicites dans les prix d'options et régularités empiriques), modélisation statistique en temps discret et continu et enfin inférence statistique (méthodes de moments, pseudo-maximum de vraisemblance, méthodes bayesiennes et autres fondées sur la vraisemblance, inférence indirecte).

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Bibliographic Info

Paper provided by CIRANO in its series CIRANO Working Papers with number 95s-49.

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Date of creation: 01 Nov 1995
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Handle: RePEc:cir:cirwor:95s-49

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Keywords: Asset returns; Conditionnal heteroskedasticity; Option prices; State Space models; Diffusion processus; rendements d'actifs financiers; hétéroscédasticité conditionnelle; prix d'option; modèle espace-état; processus de diffusion.;

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