Stochastic Volatility

Ghysels, Eric; Harvey, Andrew; Renault, Éric

dc.contributor.author	Ghysels, Eric
dc.contributor.author	Harvey, Andrew
dc.contributor.author	Renault, Éric
dc.date.accessioned	2008-01-24T14:28:08Z
dc.date.available	2008-01-24T14:28:08Z
dc.date.issued	1996
dc.identifier.uri	http://hdl.handle.net/1866/2066
dc.format.extent	3941208 bytes
dc.format.mimetype	application/pdf
dc.publisher	Université de Montréal. Département de sciences économiques.	fr
dc.subject	[JEL:C00] Mathematical and Quantitative Methods - General - General	en
dc.subject	[JEL:G10] Financial Economics - General Financial Markets - General	en
dc.subject	[JEL:G11] Financial Economics - General Financial Markets - Portfolio Choice; Investment Decisions	en
dc.subject	[JEL:G12] Financial Economics - General Financial Markets - Asset Pricing; Trading volume; Bond Interest Rates	en
dc.subject	[JEL:C00] Mathématiques et méthodes quantitatives - Généralités	fr
dc.subject	[JEL:G10] Économie financière - Marchés financiers généraux - Généralités	fr
dc.subject	[JEL:G11] Économie financière - Marchés financiers généraux - Choix de portefeuille	fr
dc.subject	[JEL:G12] Économie financière - Marchés financiers généraux - Prix des actifs	fr
dc.title	Stochastic Volatility
dc.type	Article
dc.contributor.affiliation	Université de Montréal. Faculté des arts et des sciences. Département de sciences économiques
dcterms.abstract	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).
dcterms.isPartOf	urn:ISSN:0709-9231
UdeM.VersionRioxx	Version publiée / Version of Record
oaire.citationTitle	Cahier de recherche
oaire.citationIssue	9613

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