970 Continuous-Time Stochastic Volatility Models
Duffie, D. and K. Singleton (1993) Simulated moments estimation of Markov models of
asset prices.Econometrica 61 , 929–52.
Easley, D. and M. O’Hara (1992) Time and the process of security price adjustment.Journal
of Finance 47 , 577–605.
Engle, R.F. (1982) Autoregressive conditional heteroscedasticity with estimates of the
variance of United Kingdom inflation.Econometrica 50 , 987–1006.
Eraker, B. (2004) Do stock prices and volatility jump? Reconciling evidence from spot and
option prices.Journal of Finance 59 , 1367–403.
Eraker, B., M. Johannes and N. Polson (2003) The impact of jumps in volatility and returns.
Journal of Finance 53 , 1269–300.
Fama, E.F. (1963) Mandelbrot and the stable Paretian distribution.Journal of Business 36 ,
420–9.
Fama, E.F. (1965) The behavior of stock market prices.Journal of Business 38 , 34–105.
Feuerverger, A. (1990) An efficiency result for the empirical characteristic function in
stationary time-series models.Canadian Journal of Statistics 18 , 155–61.
Feuerverger, A. and P. McDunnough (1981a) On some Fourier methods for inference.
Journal of the American Statistical Association 76 , 379–87.
Feuerverger, A. and P. McDunnough (1981b) On the efficiency of empirical characteristic
function procedures.Journal of the Royal Statistics Society, Series B 43 , 20–7.
Gallant, A.R., D.A. Hsieh and G.E. Tauchen (1997) Estimation of stochastic volatility
models with diagnostics.Journal of Econometrics 81 , 159–92.
Gallant, A.R. and G.E. Tauchen (1996) Which moments to match?Econometric Theory 12 ,
657–81.
Gallant, A.R. and G. Tauchen (1998) Reprojecting partially observed systems with appli-
cation to interest rate diffusions. Journal of the American Statistical Association 93 ,
10–24.
Ghysels, E., A. Harvey and E. Renault (1996) Stochastic volatility. In G.S. Maddala and C.R.
Rao (eds.),Statistical Methods in Finance. Handbook of Statistics, Volume 14, pp. 119–91.
Amsterdam: Elsevier.
Glosten, L.R., R. Jagannathan and D. Runkle (1993) Relationship between the expected
value and the volatility of the nominal excess return on stocks.Journal of Finance 48 ,
1779–801.
Hansen, L.P. (1982) Large sample properties of generalized method of moments estimators.
Econometrica 50 , 1029–54.
Harvey, A., E. Ruiz and N. Shephard (1994) Multivariate stochastic variance models.Review
of Economic Studies 61 , 247–64.
Heston, S.L. (1993) A closed-form solution for options with stochastic volatility with
applications to bond and currency options.Review of Financial Studies 6 , 327–43.
Huang, S., Q. Liu and J. Yu (2007) Realized daily variance of S&P 500 cash index: a
revaluation of stylized facts.Annals of Economics and Finance 8 , 33–56.
Hull, J.C. and A. White (1987) The pricing of options with stochastic volatility.Journal of
Finance 42 , 281–300.
Jacquier, E., N.G. Polson and P.E. Rossi (1994) Bayesian analysis of stochastic volatility
models.Journal of BusinessandEconomic Statistics 12 , 371–89.
Jiang, G.J. and J.L. Knight (2002) Estimation of continuous time processes via the empirical
characteristic function.Journal of Business and Economic Statistics 20 , 198–212.
Johannes, M. and N. Polson (2006) MCMC methods for financial econometrics. In Y. Aït-
Sahalia and L. Hansen (eds.),Handbook of Financial Econometrics. Forthcoming.
Johnson, H. and D. Shanno (1987) Option pricing when the variance is changing.Journal
of Financial and Quantitative Analysis 22 , 143–51.
Jones, C. (2003) The dynamics of stochastic volatility: evidence from underlying and
options markets.Journal of Econometrics 116 , 181–224.