Concepedia

Stochastic Volatility

Stochastic Volatility is a statistical model in financial econometrics where the volatility of a financial asset's returns is treated as a latent random process that evolves over time according to a specified stochastic differential equation, distinguishing it from deterministic or constant volatility models.

4.7K

Publications

419.7K

Citations

5.7K

Authors

2.1K

Institutions

Publications per year

2017–2026

1K

Variants

Sv

Parents

Children

Publications

4.7K

Generalized autoregressive conditional heteroskedasticity

Tim Bollerslev · Journal of Econometrics · 1986 · 22.3K citations · Full text

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

Steven L. Heston · Review of Financial Studies · 1993 · 9.1K citations

, , +13

Noise Trader Risk in Financial Markets

J. Bradford De Long, Andrei Shleifer, Lawrence H. Summers et al. · Journal of Political Economy · 1990 · 6.4K citations · Full text

, , +17

Expected stock returns and volatility

Kenneth R. French, G. William Schwert, Robert F. Stambaugh · Journal of Financial Economics · 1987 · 4.3K citations · Full text

, , +12

Modeling and Forecasting Realized Volatility

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold et al. · Econometrica · 2003 · 4K citations

, , +10

1–5 of 4.7K

Authors

5.7K

  1. NS
    Neil Shephard

    University of Oxford, United Kingdom

    38 publications · 10.4K citations

    27

    h-index

  2. TG
    Torben G. Andersen

    Northwestern University, United States

    34 publications · 18.3K citations

    26

    h-index

  3. TB
    Tim Bollerslev

    Duke University, United States

    30 publications · 40.9K citations

    26

    h-index

  4. OE
    Ole E. Barndorff–Nielsen

    Aarhus University, Denmark

    34 publications · 11.4K citations

    26

    h-index

  5. JF
    Jean‐Pierre Fouque

    University of California, Santa Barbara, United States

    32 publications · 1.6K citations

    23

    h-index

1–5 of 5.7K

Institutions

2.1K

  1. National Bureau of Economic Research

    Cambridge, United States

    51 h-index

    147 publications

    24.1K citations

  2. Duke University

    Durham, United States

    46 h-index

    98 publications

    14.6K citations

  3. Aarhus University

    Aarhus, Denmark

    40 h-index

    126 publications

    37.4K citations

  4. New York University

    New York, United States

    38 h-index

    71 publications

    8.4K citations

  5. University of Chicago

    Chicago, United States

    37 h-index

    75 publications

    27.1K citations

  6. Columbia University

    New York, United States

    36 h-index

    70 publications

    9K citations

  7. Princeton University

    Princeton, United States

    34 h-index

    74 publications

    7.7K citations

  8. Imperial College London

    London, United Kingdom

    31 h-index

    78 publications

    3.4K citations

1–8 of 2.1K

Venues

  1. Journal of Econometrics

    143 publications · 46.4K citations

    73

    h-index

  2. SSRN Electronic Journal

    Repository · 491 publications · 19.7K citations

    66

    h-index

  3. Journal of Business and Economic Statistics

    JBES · 94 publications · 13K citations

    51

    h-index

  4. The Journal of Finance

    65 publications · 31.8K citations

    51

    h-index

  5. Energy Economics

    87 publications · 8.8K citations

    50

    h-index

1–5