Stochastic Volatility in Financial Markets presents advanced topics
in financial econometrics and theoretical finance, and is divided
into three main parts. The first part aims at documenting an
empirical regularity of financial price changes: the occurrence of
sudden and persistent changes of financial markets volatility. This
phenomenon, technically termed stochastic volatility', or
conditional heteroskedasticity', has been well known for at least
20 years; in this part, further, useful theoretical properties of
conditionally heteroskedastic models are uncovered. The second part
goes beyond the statistical aspects of stochastic volatility
models: it constructs and uses new fully articulated,
theoretically-sounded financial asset pricing models that allow for
the presence of conditional heteroskedasticity. The third part
shows how the inclusion of the statistical aspects of stochastic
volatility in a rigorous economic scheme can be faced from an
empirical standpoint.
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