Edited by Neil Shephard
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Stochastic Volatility by Neil Shephard
Book DescriptionNeil 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 DetailsISBN: 9780199257195
(234mm x 156mm x 34mm)
Imprint: Oxford University Press
Publisher: Oxford University Press
Publish Date: 10-Mar-2005
Country of Publication: United Kingdom
Books By Author 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, 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, Paperback (September 2012)
A comprehensive overview of developments in the theory and application of state space modeling, first published in 2004.
Stochastic Volatility, Paperback (March 2005)» View all books by Neil Shephard
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.
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