MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
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Publication:4372033
DOI10.1111/J.1467-9965.1994.TB00057.XzbMATH Open0884.90054OpenAlexW2001772055MaRDI QIDQ4372033FDOQ4372033
Authors: Stephen Taylor 
Publication date: 21 January 1998
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.1994.tb00057.x
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Cited In (only showing first 100 items - show all)
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- ESTIMATION IN CONTINUOUS-TIME STOCHASTIC VOLATILITY MODELS USING NONLINEAR FILTERS
- Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH
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- Stochastic volatility and option pricing with long-memory in discrete and continuous time
- Evidence of Markov properties of high frequency exchange rate data
- LONG MEMORY STOCHASTIC VOLATILITY IN OPTION PRICING
- STOCHASTIC VOLATILITY AND JUMP-DIFFUSION — IMPLICATIONS ON OPTION PRICING
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- Estimation of stochastic volatility models with diagnostics
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- Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
- Filtering a nonlinear stochastic volatility model
- An empirical Bayesian forecast in the threshold stochastic volatility models
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- Generalized EGARCH Random Effect Models Application to Financial Time Series
- Stochastic volatility models for ordinal-valued time series with application to finance
- TOWARDS A MULTIFRACTAL PARADIGM OF STOCHASTIC VOLATILITY?
- Bayesian semiparametric Markov switching stochastic volatility model
- Volatility prediction comparison via robust volatility proxies: an empirical deviation perspective
- Capturing deep tail risk via sequential learning of quantile dynamics
- Unit root test with high-frequency data
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- Modeling volatility using state space models with heavy tailed distributions
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