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Stochastic Volatility

Author

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  • Eric Ghysels
  • Andrew Harvey
  • Eric Renault

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).
(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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    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:

    • C00 - Mathematical and Quantitative Methods - - General - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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