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Stochastic Volatility Models: An historical overview

Mª del Carmen García Centeno
Departamento de Métodos Cuantitativos
Universidad CEU San Pablo
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Román Mínguez Salido
Departamento de Estadística
Universidad de Castilla-La Mancha
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  • Abstract
    The modelling of stylised facts of financial returns has been made using two alternative views: the first, with ARCH and GARCH models and their variants, and the second one, with stochastic volatility (SV) models. This work shows an overview of the univariate and multivariate SV models and includes the latest researches.
  • Keywords: Stochastic Volatility, Multivariate and Univariate Models.
  • AMS Subject classifications: 6002, 62M10.
  • PDF PDF (404.72 kB)