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Stochastic Volatility

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  • Ghysels, E.
  • Harvey, A.
  • Renault, E.

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

Suggested Citation

  • Ghysels, E. & Harvey, A. & Renault, E., 1995. "Stochastic Volatility," Papers 95.400, Toulouse - GREMAQ.
    • Handle: RePEc:fth:gremaq:95.400
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    More about this item

    Keywords

    ECONOMETRICS; STATISTICS; FINANCIAL MARKET;
    All these keywords.

    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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