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2011 | OriginalPaper | Chapter

Stochastic Volatility

Authors : Torben G. Andersen, Luca Benzoni

Published in: Complex Systems in Finance and Econometrics

Publisher: Springer New York

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Article Outline

Glossary
Definition of the Subject
Introduction
Model Specification
Realized Volatility
Applications
Estimation Methods
Future Directions
Acknowledgments
Bibliography

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Footnotes
1
Discrete-time SV models go father back in time, at least to the easly paper by Rosenberg [232] recently reprinted in Shephard [240].
 
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Metadata
Title
Stochastic Volatility
Authors
Torben G. Andersen
Luca Benzoni
Copyright Year
2011
Publisher
Springer New York
DOI
https://doi.org/10.1007/978-1-4419-7701-4_38