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5 Stochastic volatility · Study

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Chapter5 Stochastic volatility

Éric Ghysels1996

OA

Chaptergreen1996

5 Stochastic volatility

Éric Ghysels · Andrew C. Harvey · Éric Renault

1,189 citations·0/0 files stored·Handbook of statistics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1973The Pricing of Options and Corporate Liabilities 1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1965The Behavior of Stock-Market Prices 1973Theory of Rational Option Pricing

Cited by

2003Forecasting Volatility in Financial Markets: A Review 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise 2002Range‐Based Estimation of Stochastic Volatility Models 2004Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics

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1994Chapter 49 Arch modelschapter · 25 shared references 2006Chapter 15 Volatility and Correlation Forecastingchapter · 22 shared references 2005Volatility Forecastingreport · 21 shared references 1996Statistical aspects of ARCH and stochastic volatilitychapter · 20 shared references 2006VOLATILITY AND CORRELATION FORECASTINGarticle · 20 shared references 2010Parametric and Nonparametric Volatility Measurementchapter · 19 shared references

Details

Year1996

Typechapter

Published1996-01-01

VenueHandbook of statistics

ISSN-L0169-7161

Languageen

Citations1,189

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0169-7161(96)14007-4

openalex_workW982383590

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Imported from OpenAlex (CC0) — nothing here is generated.

2002An Empirical Investigation of Continuous‐Time Equity Return Models

2001Modeling and Forecasting Realized Volatility

1998Long memory in continuous‐time stochastic volatility models