Statistical aspects of ARCH and stochastic volatility


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.
Upload paper25.78 MB


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