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Modelling stochastic volatility: a review and comparative study

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Modelling stochastic volatility : a review and comparative study. / Taylor, Stephen John.

In: Mathematical Finance, Vol. 4, No. 2, 04.1994, p. 183-204.

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Taylor, Stephen John. / Modelling stochastic volatility : a review and comparative study. In: Mathematical Finance. 1994 ; Vol. 4, No. 2. pp. 183-204.

Bibtex

@article{bf3f452f9ebe41c48f8e019473b5881e,
title = "Modelling stochastic volatility: a review and comparative study",
abstract = "Diffusion models for volatility have been used to price options while ARCH models predominate in descriptive studies of asset volatility. This paper compares a discrete-time approximation of a popular diffusion model with ARCH models. These volatility models have many siimilarities but the models make different assumptions about how the magnitude of price responses to information alters volatility and the amount of subsequent information. Several volatility models are estimated for daily DM/ exchange rates from 1978 to 1990.",
author = "Taylor, {Stephen John}",
year = "1994",
month = "4",
doi = "10.1111/j.1467-9965.1994.tb00057.x",
language = "English",
volume = "4",
pages = "183--204",
journal = "Mathematical Finance",
issn = "0960-1627",
publisher = "Wiley-Blackwell",
number = "2",

}

RIS

TY - JOUR

T1 - Modelling stochastic volatility

T2 - a review and comparative study

AU - Taylor, Stephen John

PY - 1994/4

Y1 - 1994/4

N2 - Diffusion models for volatility have been used to price options while ARCH models predominate in descriptive studies of asset volatility. This paper compares a discrete-time approximation of a popular diffusion model with ARCH models. These volatility models have many siimilarities but the models make different assumptions about how the magnitude of price responses to information alters volatility and the amount of subsequent information. Several volatility models are estimated for daily DM/ exchange rates from 1978 to 1990.

AB - Diffusion models for volatility have been used to price options while ARCH models predominate in descriptive studies of asset volatility. This paper compares a discrete-time approximation of a popular diffusion model with ARCH models. These volatility models have many siimilarities but the models make different assumptions about how the magnitude of price responses to information alters volatility and the amount of subsequent information. Several volatility models are estimated for daily DM/ exchange rates from 1978 to 1990.

U2 - 10.1111/j.1467-9965.1994.tb00057.x

DO - 10.1111/j.1467-9965.1994.tb00057.x

M3 - Journal article

VL - 4

SP - 183

EP - 204

JO - Mathematical Finance

JF - Mathematical Finance

SN - 0960-1627

IS - 2

ER -