Stochastic Volatility: Selected Readings (Advanced Texts in Econometrics) - Hardcover

Hardcover

ISBN 10: 0199257191 ISBN 13: 9780199257195

Publisher: OUP Oxford, 2005

Synopsis

Neil Shephard has brought together a set of classic and central papers that have contributed to our understanding of financial volatility. They cover stocks, bonds and currencies and range from 1973 up to 2001. Shephard, a leading researcher in the field, provides a substantial introduction in
which he discusses all major issues involved.

About this title

Review

This volume represents an invaluable surveyon the state-of-the-art of SV modelling in finance. Quite simply, this volume is a must-have for anyone dealing with volatility modelling (Giuseppe Cavaliere, The Economic Journal)

About the Author

Neil Shephard is Professor of Economics and Official Fellow in Economics, Nuffield College, at the University of Oxford. He has also taught at the London School of Economics. He has published widely, is on the Editorial Board of the Review of Economic Studies, and is Associate Editor of Econometrica.

Edition details

• Publisher: OUP Oxford
• Publication date: 2005
• Language: English
• ISBN 10: 0199257191
• ISBN 13: 9780199257195
• Binding: Hardcover
• Number of pages: 536
• Editor: Shephard Neil