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Stochastic Volatility

Author

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

Abstract

This paper prepared for the Handbook of Statistics (Vol.14: "Statistical Methods in Finance"), surveys the subject of stochastic volatility. The following subjects are covered: volatility in financial markets (instantaneous volatility of asset returns, implied volatilities in option prices and related stylized facts), statistical modelling in discrete and continuous time and, finally, statistical inference (methods of moments, quasi-maximum likelihood, likelihood- based and bayesian methods and indirect inference).
(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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    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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