Statistical aspects of ARCH and stochastic volatility

Citation:

Shephard, Neil. 1996. “Statistical aspects of ARCH and stochastic volatility.” Time Series Models in Econometrics, Finance and Other Fields, (edited by D.R. Cox, David V. Hinkley and Ole E. Barndorff-Neilsen), 1-67. London: Chapman & Hall.
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Notes:

Reprinted in the Survey of Applied and Industrial Mathematics, issue on Financial and insurance mathematics, 3, 764-826, Scientific Publisher TVP, Moscow, 1996 (in Russian).

Last updated on 10/04/2013