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Stochastic Volatility: Origins and Overview

In: Handbook of Financial Time Series

Author

Listed:
  • Neil Shephard

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

  • Torben G. Andersen

    (Northwestern University, Kellogg School of Management)

Abstract

Stochastic volatility is the main way time-varying volatility is modelled in financial markets. The development of stochastic volatility is reviewed, placing it in a modeling and historical context. Some recent trends in the literature are highlighted.

Suggested Citation

  • Neil Shephard & Torben G. Andersen, 2009. "Stochastic Volatility: Origins and Overview," Springer Books, in: Thomas Mikosch & Jens-Peter Kreiß & Richard A. Davis & Torben Gustav Andersen (ed.), Handbook of Financial Time Series, chapter 10, pages 233-254, Springer.
    • Handle: RePEc:spr:sprchp:978-3-540-71297-8_10
    DOI: 10.1007/978-3-540-71297-8_10
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    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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