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Stochastic Volatility: Origins and Overview

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  • Neil Shephard
  • Torben G. Andersen

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.

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Bibliographic Info

Paper provided by Oxford Financial Research Centre in its series OFRC Working Papers Series with number 2008fe23.

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Length: 21
Date of creation: 2008
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Handle: RePEc:sbs:wpsefe:2008fe23

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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, vol. 54(11), pages 2786-2800, November.
  2. Sergey S. Stepanov, 2009. "Resilience of Volatility," Papers 0911.5048, arXiv.org.

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