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Revealing the arcane: an introduction to the art of stochastic volatility models (in Russian)

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  • Alexander Tsyplakov

    (Novosibirsk State University, Russia)

Abstract

This essay tries to provide a straightforward and sufficiently accessible demonstration of some known procedures for stochastic volatility model. It reviews important concepts and gives informal derivations of related methods. The essay is meant to be useful as a cookbook for a novice. The exposition is confined to classical (non-Bayesian) framework.

Suggested Citation

  • Alexander Tsyplakov, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models (in Russian)," Quantile, Quantile, issue 8, pages 69-122, July.
  • Handle: RePEc:qnt:quantl:y:2010:i:8:p:69-122
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    References listed on IDEAS

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    1. Labeaga, Jose M., 1999. "A double-hurdle rational addiction model with heterogeneity: Estimating the demand for tobacco," Journal of Econometrics, Elsevier, pages 49-72.
    2. John A. Tauras & Patrick M. O'Malley & Lloyd D. Johnston, 2001. "Effects of Price and Access Laws on Teenage Smoking Initiation: A National Longitudinal Analysis," NBER Working Papers 8331, National Bureau of Economic Research, Inc.
    3. John A. Tauras, 1999. "The Transition to Smoking Cessation: Evidence from Multiple Failure Duration Analysis," NBER Working Papers 7412, National Bureau of Economic Research, Inc.
    4. Suranovic, Steven M. & Goldfarb, Robert S. & Leonard, Thomas C., 1999. "An economic theory of cigarette addiction," Journal of Health Economics, Elsevier, vol. 18(1), pages 1-29, January.
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