MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY

Mathematical Finance

Volumn 4, Issue 2, 1994, Pages 183-204

  Taylor, Stephen J ^a  

^a LANCASTER UNIVERSITY   (United Kingdom)

Author keywords

conditional heteroskedasticity; exchange rates; stochastic volatility; volatility persistence

Indexed keywords

EID: 84986754945     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.1994.tb00057.x     Document Type: Article

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