Revealing the arcane: an introduction to the art of stochastic volatility models

This essay is aimed to provide a straightforward and sufficiently accessible demonstration of some known procedures for stochastic volatility model. It reviews the important related concepts, gives informal derivations of the methods and can be useful as a cookbook for a novice. The exposition is confined to classical (non-Bayesian) framework and discrete-time formulations.

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Year of publication:	2010-09-28
Authors:	Tsyplakov, Alexander

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Tsyplakov, Alexander (2010): Revealing the arcane: an introduction to the art of stochastic volatility models.
Classification:	C13 - Estimation ; C53 - Forecasting and Other Model Applications ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models
Source:	BASE

Persistent link: https://www.econbiz.de/10015223455