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Stochastic Volatility: Origins and Overview

  • Neil Shephard

    ()

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

  • Torben Andersen

    (Kellogg School of Management, Northwestern University and CREATES, University of Aarhus)

In this paper we review the history and recent developments of stochastic volatility, which is the main way financial economists and mathematical finance specialists model time varying volatility.

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File URL: http://www.nuffield.ox.ac.uk/economics/papers/2008/w4/torben_3_3_2008.pdf
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Paper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number 2008-W04.

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Length: 21 pages
Date of creation: 03 May 2008
Date of revision:
Handle: RePEc:nuf:econwp:0804
Contact details of provider: Web page: https://www.nuffield.ox.ac.uk/economics/

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  17. Comte, F. & Renault, E., 1996. "Long Memory in Continuous Time Stochastic Volatility Models," Papers 96.406, Toulouse - GREMAQ.
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  23. Gallant, A. Ronald & Hsieh, David & Tauchen, George, 1995. "Estimation of Stochastic Volatility Models with Diagnostics," Working Papers 95-36, Duke University, Department of Economics.
  24. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 63(2), pages 167-241.
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  26. Darrell Duffie & Jun Pan & Kenneth Singleton, 2000. "Transform Analysis and Asset Pricing for Affine Jump-Diffusions," Econometrica, Econometric Society, vol. 68(6), pages 1343-1376, November.
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  36. Andersen, Torben G. & Lund, Jesper, 1997. "Estimating continuous-time stochastic volatility models of the short-term interest rate," Journal of Econometrics, Elsevier, vol. 77(2), pages 343-377, April.
  37. Andersen, Torben G, 1996. " Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility," Journal of Finance, American Finance Association, vol. 51(1), pages 169-204, March.
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