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Estimating Diffusion Models of Stochastic Volatility · Study

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ChapterEstimating Diffusion Models of Stochastic Volatility

Robert F. Engle1996

Chapter1996

Estimating Diffusion Models of Stochastic Volatility

Robert F. Engle · Gary G. J. Lee

38 citations·0/0 files stored·Elsevier eBooks

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Markov Chains and Monte Carlo Methods

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1965The Behavior of Stock-Market Prices 1985A Theory of the Term Structure of Interest Rates 1992ARCH modeling in finance

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2007Estimation of an adaptive stock market model with heterogeneous agents 2000ESTIMATION IN CONTINUOUS-TIME STOCHASTIC VOLATILITY MODELS USING NONLINEAR FILTERS 2004PRICING S&P 500 INDEX OPTIONS UNDER STOCHASTIC VOLATILITY WITH THE INDIRECT INFERENCE METHOD

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2005Volatility Forecastingreport · 24 shared references 2006Chapter 15 Volatility and Correlation Forecastingchapter · 22 shared references 2006VOLATILITY AND CORRELATION FORECASTINGarticle · 21 shared references 1996Statistical aspects of ARCH and stochastic volatilitychapter · 20 shared references 2010Parametric and Nonparametric Volatility Measurementchapter · 20 shared references 1994Chapter 49 Arch modelschapter · 19 shared references

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Year1996

Typechapter

Published1996-01-01

VenueElsevier eBooks

Languageen

Citations38

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/b978-012598275-7.50012-0

openalex_workW2505771282

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