Stochastic Volatility: Origins and Overview

By N. Shephard, Torben G. Andersen. 2008

121 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/7c0ea39d72f07bb7a18c2ef35c3071e3c1b8c091

Citations in the corpus

• Stochastic Volatility of Volatility and Variance Risk Premia (2013, unknown): “…volatility clusters, the existence of a leverage effect, see Nelson (1991), i.e. the (typically negative) correlation between asset returns and their volatility, see e.g. Barndorff-Nielsen & Shephard (2007, 2012), Ghysels et al. (1996), Shephard & Andersen (2009), Shephard (2005) for a review.”