TY  - BOOK
AU  - Shephard,Neil
TI  - Stochastic volatility: selected readings 
T2  - Advanced texts in econometrics
SN  - 0199257191
AV  - QA274 .S824 2005
U1  - 519.23 22
PY  - 2005///]
CY  - Oxford, New York
PB  - Oxford University Press
KW  - Stochastic processes
KW  - Finance
KW  - Mathematical models
KW  - Money market
KW  - Capital market
N1  - Includes bibliographical references and index; General Introduction; N. Shephard --; Model Building; Part I --; 1; A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices; P. K. Clark --; A Study of Daily Sugar Prices, 1961-79; S. J. Taylor --; 2; Financial Returns Modelled by the Product of Two Stochastic Processes --; 3; The Behavior of Random Variables with Nonstationary Variance and the Distribution of Security Prices; B. Rosenberg --; 4; The Pricing of Options on Assets with Stochastic Volatilities; J. Hull and A. White --; A Multivariate Latent Factor ARCH Model; F. X. Diebold and M. Nerlove --; 5; The Dynamics of Exchange Rate Volatility --; 6; Multivariate Stochastic Variance Models; A. C. Harvey, E. Ruiz, and N. Shephard --; A Framework for Volatility Modelling; T. G. Andersen --; 7; Stochastic Autoregressive Volatility --; 8; Long Memory in Continuous-time Stochastic Volatility Models; F. Comte and E. Renault --; Inference; Part II --; 9; Bayesian Analysis of Stochastic Volatility Models; E. Jacquier, N. G. Polson, and P. E. Rossi --; Likelihood Inference and Comparison with ARCH Models; S. Kim, N. Shephard, and S. Chib --; 10; Stochastic Volatility --; 11; Estimation of Stochastic Volatility Models with Diagnostics; A. R. Gallant, D. Hsieh, and G. Tauchen --; Option Pricing; Part III --; 12; Pricing Foreign Currency Options with Stochastic Volatility; A. Melino and S. M. Turnbull --; 13; A Closed-Form Solution for Options with Stochastic Volatility, with Applications to Bond and Currency Options; S. L. Heston --; 14; A Study Towards a Unified Approach to the Joint Estimation of Objective and Risk Neutral Measures for the Purpose of Options Valuation; M. Chernov and E. Ghysels --; Realised Variation; Part IV --; 15; The Distribution of Exchange Rate Volatility; T. G. Andersen, T. Bollerslev, F. X. Diebold, and P. Labys --; 16; Econometric Analysis of Realized Volatility and its use in Estimating Stochastic Volatility Models; O. E. Barndorff-Nielsen and N. Shephard
ER  -