Stochastic Volatility by Neil Shephard
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Stochastic Volatility
By Neil Shephard

Stochastic Volatility

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Format: Hardback

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Stochastic Volatility by Neil Shephard

Book Description

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.

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Book Details

ISBN: 9780199257195
ISBN-10: 0199257191
Format: Hardback
(234mm x 156mm x 34mm)
Pages: 536
Imprint: Oxford University Press
Publisher: Oxford University Press
Publish Date: 10-Mar-2005
Country of Publication: United Kingdom

Other Editions...


Books By Author Neil Shephard

Unobserved Components and Time Series Econometrics by Neil Shephard Unobserved Components and Time Series Econometrics, Hardback (November 2015)

Presents original and up-to-date studies in unobserved components (UC) time series models from both theoretical and methodological perspectives.

Methodology and Practice of Econometrics by Neil Shephard Methodology and Practice of Econometrics, Paperback (October 2015)

Building upon, and celebrating the work of David Hendry, this volume consists of a number of specially commissioned pieces from some of the leading econometricians in the world. It reflects on the recent advances in econometrics and considers the future progress for the methodology of econometrics.

State Space and Unobserved Component Models by Neil Shephard State Space and Unobserved Component Models, Paperback (September 2012)

A comprehensive overview of developments in the theory and application of state space modeling, first published in 2004.

Stochastic Volatility by Neil Shephard Stochastic Volatility, Paperback (March 2005)

Stochastic volatility is the main concept used in the fields of financial economics and mathematical finance to deal with time-varying volatility in financial markets. This book brings together some of the main papers that have influenced the field of the econometrics of stochastic volatility.

» View all books by Neil Shephard

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Recent books by Neil Shephard close
Unobserved Components and Time Series Econometrics by Neil Shephard
Methodology and Practice of Econometrics by Neil Shephard
State Space and Unobserved Component Models by Neil Shephard
Methodology and Practice of Econometrics by Neil Shephard
Stochastic Volatility by Neil Shephard
»
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