Stochastic volatility represents an essential framework for understanding the dynamic uncertainty inherent in financial markets. This approach extends traditional models by recognising that volatility ...

A new way of estimating stochastic volatility models is developed. The method is based on the existence of autoregressive moving average (ARMA) representations for powers of the log-squared ...

Citations: Andersen, Torben Gustav, Tim Bollerslev. 1996. GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study. Journal of Business & Economic Statistics. (3)328-352.

The Sharpe ratio, which is defined as the ratio of the excess expected return of an investment to its standard deviation, has been widely cited in the financial literature by researchers and ...

Adam Hayes, Ph.D., CFA, is a financial writer with 15+ years Wall Street experience as a derivatives trader. Besides his extensive derivative trading expertise, Adam is an expert in economics and ...