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Stochastic Volatility

Listed author(s):
  • Ghysels, E.
  • Harvey, A.
  • Renault, E.

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).

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Paper provided by Centre interuniversitaire de recherche en économie quantitative, CIREQ in its series Cahiers de recherche with number 9613.

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Length: 68 pages
Date of creation: 1996
Handle: RePEc:mtl:montec:9613
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