- Abstract:
-
Stochastic volatility (SV) is the main concept used in the elds of nancial economics and mathematical nance to deal with the endemic time-varying volatility and codependence found in nancial markets. Such dependence has been known for a long time. It was also clear to the founding fathers of modern continuous time nance that homogeneity was an unrealistic if convenient simplication. Heterogeneity has deep implications for the theory and practice of nancial economics and econometrics. In parti...
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- Volume:
- w28
- Series:
- Economics Working Papers
- Publication date:
- 2005
- URN:
-
uuid:cca137f7-e304-41a6-bee3-54de46b0a965
- Local pid:
- oai:economics.ouls.ox.ac.uk:11966
- Language:
- English
- Copyright date:
- 2005
Working paper
Stochastic Volatility.
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