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Papyrus : Dépôt institutionnel - Université de Montréal
Article . 1996
Data sources: Papyrus : Dépôt institutionnel - Université de Montréal
Research Papers in Economics
Preprint . 1995
Full-Text: http://alfresco.uclouvain.be/alfresco/download/attach/workspace/SpacesStore/4f19c78f-40b7-47c3-9b85-f0fb1c8800fb/coredp_1995_69.pdf
Data sources: Research Papers in Economics
Research Papers in Economics
Preprint . 1996
Data sources: Research Papers in Economics
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Stochastic Volatility

descriptionPublicationkeyboard_double_arrow_right Article , Preprint 01 Dec 1995Publisher:Université de Montréal. Département de sciences économiques.
Authors: Ghysels, E.; Harvey, A.; Renault, E.;

handle: 1866/2066

Stochastic Volatility

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).

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Keywords

[JEL:G10] Financial Economics - General Financial Markets - General, [JEL:G12] Financial Economics - General Financial Markets - Asset Pricing; Trading volume; Bond Interest Rates, [JEL:G11] Financial Economics - General Financial Markets - Portfolio Choice; Investment Decisions, [JEL:G10] Économie financière - Marchés financiers généraux - Généralités, [JEL:G12] Économie financière - Marchés financiers généraux - Prix des actifs, [JEL:G11] Économie financière - Marchés financiers généraux - Choix de portefeuille, [JEL:C00] Mathematical and Quantitative Methods - General - General, [JEL:C00] Mathématiques et méthodes quantitatives - Généralités, jel: jel:C00, jel: jel:G12, jel: jel:G10, jel: jel:G11

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
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