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Stochastic Volatility

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  • GHYSELS, Eric

    (C.R.D.E, Université de Montréal and CIRANO, Montréal)

  • HARVEY, Andrew

    (London School of Economics)

  • RENAULT, Eric

    (GREMAQ and IDEI, Université des Sciences Sociales, Toulouse et Institut universitaire de France)

Abstract

This paper contains a survey of the recent literature on the class of stochastic volatility models in finance, with an emphasis on statistical modeling of volatility.

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Bibliographic Info

Paper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers with number 1995069.

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Date of creation: 01 Dec 1995
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Handle: RePEc:cor:louvco:1995069

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References

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  7. Bollerslev, T. & Ghysels, E., 1994. "Periodic Autoregressive Conditional Heteroskedasticity," Cahiers de recherche 9408, Universite de Montreal, Departement de sciences economiques.
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  21. repec:fth:inseep:9406 is not listed on IDEAS
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