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Stochastic Volatility.

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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Authors


Neil Shephard More by this author
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

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