Show item record

dc.contributor.authorGhysels, Eric
dc.contributor.authorHarvey, Andrew
dc.contributor.authorRenault, Éric
dc.date.accessioned2008-01-24T14:28:08Z
dc.date.available2008-01-24T14:28:08Z
dc.date.issued1996
dc.identifier.urihttp://hdl.handle.net/1866/2066
dc.format.extent3941208 bytes
dc.format.mimetypeapplication/pdf
dc.publisherUniversité de Montréal. Département de sciences économiques.fr
dc.subject[JEL:C00] Mathematical and Quantitative Methods - General - Generalen
dc.subject[JEL:G10] Financial Economics - General Financial Markets - Generalen
dc.subject[JEL:G11] Financial Economics - General Financial Markets - Portfolio Choice; Investment Decisionsen
dc.subject[JEL:G12] Financial Economics - General Financial Markets - Asset Pricing; Trading volume; Bond Interest Ratesen
dc.subject[JEL:C00] Mathématiques et méthodes quantitatives - Généralitésfr
dc.subject[JEL:G10] Économie financière - Marchés financiers généraux - Généralitésfr
dc.subject[JEL:G11] Économie financière - Marchés financiers généraux - Choix de portefeuillefr
dc.subject[JEL:G12] Économie financière - Marchés financiers généraux - Prix des actifsfr
dc.titleStochastic Volatility
dc.typeArticle
dcterms.abstractThis 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).
dcterms.isPartOfurn:ISSN:0709-9231
UdeM.VersionRioxxVersion publiée / Version of Record
oaire.citationTitleCahier de recherche
oaire.citationIssue9613


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show item record