Neil Shephard has brought together a set of classic and central papers that have contributed to our understanding of financial volatility. They cover stocks, bonds and currencies and range from 1973 up to 2001. Shephard, a leading researcher in the field, provides a substantial introduction in which he discusses all major issues involved.
Stochastic Volatility
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Book Description
Editorial Reviews
Review
This volume represents an invaluable surveyon the state-of-the-art of SV modelling in finance. Quite simply, this volume is a must-have for anyone dealing with volatility modelling Giuseppe Cavaliere, The Economic Journal
--This text refers to the
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About the Author
Neil Shephard is Professor of Economics and Official Fellow in Economics, Nuffield College, at the University of Oxford. He has also taught at the London School of Economics. He has published widely, is on the Editorial Board of the Review of Economic Studies, and is Associate Editor of Econometrica.
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Inside This Book
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Key Phrases - Statistically Improbable Phrases (SIPs):
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bayesian analysis, stochastic autoregressive volatility, subordinated stochastic process model, pricing foreign currency options, modelling financial time series, reprojection filter, integration sampler, moneyness category, predicted option prices, squared price changes, stochastic volatility specification, daily exchange rate changes, volatility generalizations, score generator, daily realized volatilities, spurious serial correlation, price change variance, integrated volatility, volatility filters, realized exchange rate volatility, lagged moving average, stochastic volatility model, nonparametric score, moving average root, realized volatility Key Phrases - Capitalized Phrases (CAPs): (learn more)
Stochastic Volatility, Monte Carlo, Journal of Econometrics, New York, Journal of Finance, Long Memory, Stochastic Volatilities, Cambridge University Press, Journal of Financial Economics, Econometric Analysis of Realized Volatility, Mathematical Finance, Journal of Time Series Analysis, Review of Financial Studies, The Behavior of Random Variables, Northwestern University, Journal of the Royal Statistical Society, Journal of Applied Econometrics, Central Limit Theorem, John Wiley, The Dynamics of Exchange Rate Volatility, Economic Statistics, Journal of the American Statistical Association, University of Chicago, Review of Economic Studies, Journal of Business Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Surprise Me!
bayesian analysis, stochastic autoregressive volatility, subordinated stochastic process model, pricing foreign currency options, modelling financial time series, reprojection filter, integration sampler, moneyness category, predicted option prices, squared price changes, stochastic volatility specification, daily exchange rate changes, volatility generalizations, score generator, daily realized volatilities, spurious serial correlation, price change variance, integrated volatility, volatility filters, realized exchange rate volatility, lagged moving average, stochastic volatility model, nonparametric score, moving average root, realized volatility Key Phrases - Capitalized Phrases (CAPs): (learn more)
Stochastic Volatility, Monte Carlo, Journal of Econometrics, New York, Journal of Finance, Long Memory, Stochastic Volatilities, Cambridge University Press, Journal of Financial Economics, Econometric Analysis of Realized Volatility, Mathematical Finance, Journal of Time Series Analysis, Review of Financial Studies, The Behavior of Random Variables, Northwestern University, Journal of the Royal Statistical Society, Journal of Applied Econometrics, Central Limit Theorem, John Wiley, The Dynamics of Exchange Rate Volatility, Economic Statistics, Journal of the American Statistical Association, University of Chicago, Review of Economic Studies, Journal of Business Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Surprise Me!
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