Volatility Inference and Return Dependencies in Stochastic Volatility Models
Mathematical Finance
2016-10-04 v1
Abstract
Stochastic volatility models describe stock returns as driven by an unobserved process capturing the random dynamics of volatility . The present paper quantifies how much information about volatility 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}
}