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Stochastic Volatility

Author

Listed:
  • 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.

Suggested Citation

  • GHYSELS, Eric & HARVEY, Andrew & RENAULT, Eric, 1995. "Stochastic Volatility," LIDAM Discussion Papers CORE 1995069, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvco:1995069
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    File URL: https://sites.uclouvain.be/core/publications/coredp/coredp1995.html
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    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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