Nature

Stochastic Volatility in Financial Markets

Stochastic volatility represents an essential framework for understanding the dynamic uncertainty inherent in financial markets. This approach extends traditional models by recognising that volatility ...
JSTOR Daily

Linear-Representation Based Estimation of Stochastic Volatility Models

A new way of estimating stochastic volatility models is developed. The method is based on the existence of autoregressive moving average (ARMA) representations for powers of the log-squared ...
Kellogg School of Management

Estimation of Continuous-Time Stochastic Volatility Models with Jumps Using High-Frequency Data

Citations: Todorov, Viktor. 2009. Estimation of Continuous-Time Stochastic Volatility Models with Jumps Using High-Frequency Data. Journal of Econometrics. 131-148.
Kellogg School of Management

GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study

Citations: Andersen, Torben Gustav, Tim Bollerslev. 1996. GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study. Journal of Business & Economic Statistics. (3)328-352.