Statistical aspects of ARCH and stochastic volatility
Publication information:
Shephard, Neil. 1996. “Statistical Aspects of ARCH and Stochastic Volatility”. In Time Series Models in Econometrics, Finance and Other Fields, (edited by D.R. Cox, David V. Hinkley and Ole E. Barndorff-Neilsen), 1-67. London: Chapman & Hall.
Notes
Reprinted in the Survey of Applied and Industrial Mathematics, issue on Financial and insurance mathematics, 3, 764-826, Scientific Publisher TVP, Moscow, 1996 (in Russian).