摘要
系统总结了随机波动模型(简称SV类模型)的研究动态,包括连续时间SV模型与离散时间SV模型,并对离散时间模型的分类,以及与连续时间SV模型之间的关系进行了阐述,提出了SV模型今后的研究发展方向,为SV模型的进一步研究和实际应用提供参考和借鉴。
This paper systematically summarizes most stochastic volatility models, including continuous-time stochastic volatility models and discrete-time stochastic volatility models. Then discrete-time stochastic volatility models is classified systematically. The paper points out the connection of continuoustime stochastic volatility models and discrete-time stochastic volatility models. At last, the future research of SV models is remarked. All this can be used as a reference for further research and practical application of SV model.
出处
《西北农林科技大学学报（社会科学版）》
2006年第4期65-68,72,共5页
Journal of Northwest A&F University(Social Science Edition)
关键词
随机波动模型
高散时间
连续时间
长记忆性
stochastic volatility models
discrete-time
continuous-time
long memory characteristics
