al-Hagyan, Mohammed and Misiran, Masnita and Omar, Zurni (2015) Content analysis of stochastic volatility model in discrete and continuous time setting. Research Journal of Applied Sciences, Engineering and Technology, 10 (10). pp. 1185-1191. ISSN 2040-7459

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Abstract

This study investigated the popularity of stochastic volatility in recent literature. Stochastic volatility models are common in the financial markets and decision making process. Efficient managing scenarios to these problems will reduce risks in future valuations in many financial assets.A volatility model that is stochastic can better capture the time-varying elements mostly absent in its counterpart, a standard volatility model. In this study, a content analysis is conducted to extract information on mostly used enhancement-stochastic models available in literature.The finding indicates that stochastic volatility with long memory pioneers in SciVerse search engine, whereas stochastic volatility with jump is the highest numbers in publication, in particular the Google Scholar.

Item Type:	Article
Uncontrolled Keywords:	Content analysis, stochastic volatility
Subjects:	Q Science > QA Mathematics
Divisions:	School of Quantitative Sciences
Depositing User:	Dr. Masnita Misiran @ Bakun
Date Deposited:	15 Jun 2016 08:47
Last Modified:	15 Jun 2016 08:47
URI:	https://repo.uum.edu.my/id/eprint/18124

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