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Published: 10 March 2005

536 Pages | numerous figures and tables


ISBN: 9780199257201

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Bookseller Code (AJ)

Stochastic Volatility

Selected Readings

Neil Shephard

Advanced Texts in Econometrics

  • A selection of the key papers in the development of the stochastic volatility field, gathered for the first time.
  • A lengthy introduction provides an overview and context, and connects the papers with the literature of the field.
  • Includes Barr Rosenberg's seminal paper on the behaviour of random variables