Neil Shephard has brought together a set of classic and central papers that have contributed to our understanding of financial volatility. They cover stocks, bonds and currencies and range from 1973 up to 2001. Shephard, a leading researcher in the field, provides a substantial introduction in which he discusses all major issues involved.
About the Series Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.
General IntroductionNeil Shephard Part I: Model Building 1. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices,P. K. Clark 2. Financial Returns Modelled by the Product of Two Stochastic Processes: A Study of Daily Sugar Prices 1961-7,S. J. Taylor 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 5. The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor ARCH Model,F. X. Diebold and M. Nerlove 6. Multivariate Stochastic Variance Models,A.C. Harvey, E. Ruiz and N. Shephard) 7. Stochastic Autoregressive Volatility: A Framework for Volatility Modelling,T.G. Anderson 8. Long Memory in Continuous-time Stochastic Volatility Models,F. Comte and E. Renault Part II: Inference
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