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Zusatztext 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 Informationen zum Autor 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. Klappentext 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. About the SeriesAdvanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability! panel and time series data analysis! modeling! and cointegration. In both hardback and affordable paperback! each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature. Zusammenfassung Stochastic volatility is the main concept used in the fields of financial economics and mathematical finance to deal with time-varying volatility in financial markets. This book brings together some of the main papers that have influenced the field of the econometrics of stochastic volatility. Inhaltsverzeichnis General Introduction Part I: Model Building 1: P. K. Clark: A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 2: S. J. Taylor: Financial Returns Modelled by the Product of Two Stochastic Processes: A Study of Daily Sugar Prices, 1961-79 3: B. Rosenberg: The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices 4: J. Hull and A. White: The Pricing of Options on Assets with Stochastic Volatilities 5: F. X. Diebold and M. Nerlove: The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor ARCH Model 6: A. C. Harvey, E. Ruiz, and N. Shephard: Multivariate Stochastic Variance Models 7: T. G. Andersen: Stochastic Autoregressive Volatility: A Framework for Volatility Modeling 8: F. Comte and E. Renault: Long Memory in Continuous-time Stochastic Volatility Models Part II: Inference 9: E. Jacquier, N. G. Polson, and P. E. Rossi: Bayesian Analysis of Stochastic Volatility Models 10: S. Kim, N. Shephard, and S. Chib: Stochastic Volatility: Likelihood Inference and Comparison with ARCH models 11: A. R. Gallant, D. Hsieh, and G. Tauchen: Estimation of Stochastic Volatility Models with Diagnostics Part III: Option Pricing 12: A. Melino and S. M. Turnbull: Pricing Foreign Currency Options with Stochastic Volatility 13: S. L. Heston: A Closed-Form Solution for Options with Stochastic Volatility, with Applications to Bond and Currency Options 14: M. Chernov and E. Ghysels: A Study Towards a Unified Approach to the Joint Estimation of Objective and Risk Neutral Measures for the Purpose of Options Valuation Part IV: Realised Variation 15: T. G. Andersen, T. Bollerslev, F. X. Diebold, and P. Labys: The Distribution of Exchange Rate Volatility 16: O. E. Barndorff-Nielsen and N. Shephard: Econometric Analysis of Realized Volatility and its use in Estimating Stochastic Volatility Models Index ...
