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Stochastic Volatility: Origins and Overview

  • Neil Shephard
  • Torben G. Andersen

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.economics.ox.ac.uk/materials/working_papers/paper389.pdf
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Paper provided by University of Oxford, Department of Economics in its series Economics Series Working Papers with number 389.

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Date of creation: 01 Mar 2008
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Handle: RePEc:oxf:wpaper:389
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