Working paper
Stochastic Volatility.
- Abstract:
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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
Bibliographic Details
- Publisher:
- Nuffield College (University of Oxford)
- Series:
- Economics Working Papers
- Host title:
- Economics Group, Nuffield College, University of Oxford, Economics Papers
- Publication date:
- 2005-01-01
Item Description
- Language:
- English
- UUID:
-
uuid:cca137f7-e304-41a6-bee3-54de46b0a965
- Local pid:
- oai:economics.ouls.ox.ac.uk:11966
- Deposit date:
- 2011-08-16
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- Copyright date:
- 2005
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