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Stochastic Volatility
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Stochastic Volatility

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  • Eric Ghysels
  • Andrew Harvey
  • Eric Renault

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

Suggested Citation

  • Eric Ghysels & Andrew Harvey & Eric Renault, 1995. "Stochastic Volatility," CIRANO Working Papers 95s-49, CIRANO.
    • Handle: RePEc:cir:cirwor:95s-49
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    References listed on IDEAS

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    More about this item

    Keywords

    Asset returns; Conditionnal heteroskedasticity; Option prices; State Space models; Diffusion processus; rendements d'actifs financiers; hétéroscédasticité conditionnelle; prix d'option; modèle espace-état; processus de diffusion.;
    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)

    Statistics

    Access and download statistics

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