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Stochastic Volatility: Origins and Overview

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  • Neil Shephard

    ()
    (Oxford-Man Institute and Department of Economics, University of Oxford)

  • Torben Andersen

    (Kellogg School of Management, Northwestern University and CREATES, University of Aarhus)

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.

(This abstract was borrowed from another version of this item.)

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Bibliographic Info

Paper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number 2008-W04.

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Length: 21 pages
Date of creation: 03 May 2008
Date of revision:
Handle: RePEc:nuf:econwp:0804

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Web page: http://www.nuff.ox.ac.uk/economics/

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References

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Citations

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Cited by:
  1. Rossi, E. & Spazzini, F., 2010. "Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 54(11), pages 2786-2800, November.
  2. Sergey S. Stepanov, 2009. "Resilience of Volatility," Papers 0911.5048, arXiv.org.
  3. Trojan, Sebastian, 2014. "Modeling Intraday Stochastic Volatility and Conditional Duration Contemporaneously with Regime Shifts," Economics Working Paper Series, University of St. Gallen, School of Economics and Political Science 1425, University of St. Gallen, School of Economics and Political Science.

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