English

Volatility Inference and Return Dependencies in Stochastic Volatility Models

Mathematical Finance 2016-10-04 v1

Abstract

Stochastic volatility models describe stock returns rtr_t as driven by an unobserved process capturing the random dynamics of volatility vtv_t. The present paper quantifies how much information about volatility vtv_t and future stock returns can be inferred from past returns in stochastic volatility models in terms of Shannon's mutual information.

Keywords

Cite

@article{arxiv.1610.00312,
  title  = {Volatility Inference and Return Dependencies in Stochastic Volatility Models},
  author = {Oliver Pfante and Nils Bertschinger},
  journal= {arXiv preprint arXiv:1610.00312},
  year   = {2016}
}
R2 v1 2026-06-22T16:08:07.176Z