Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
Non-Gaussian processes of Ornstein–Uhlenbeck (OU) type offer the possibility of capturing important distributional deviations from Gaussianity and for flexible modelling of dependence structures. This paper develops this potential, drawing on and extending powerful results from probability theory fo...
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| Format: | Journal article |
| Language: | English |
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Blackwell Publishing
2001
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| _version_ | 1797067617253457920 |
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| author | Barndorff-Nielsen, O Shephard, N |
| author2 | Royal Statistical Society |
| author_facet | Royal Statistical Society Barndorff-Nielsen, O Shephard, N |
| author_sort | Barndorff-Nielsen, O |
| collection | OXFORD |
| description | Non-Gaussian processes of Ornstein–Uhlenbeck (OU) type offer the possibility of capturing important distributional deviations from Gaussianity and for flexible modelling of dependence structures. This paper develops this potential, drawing on and extending powerful results from probability theory for applications in statistical analysis. Their power is illustrated by a sustained application of OU processes within the context of finance and econometrics. We construct continuous time stochastic volatility models for financial assets where the volatility processes are superpositions of positive OU processes, and we study these models in relation to financial data and theory. |
| first_indexed | 2024-03-06T21:58:54Z |
| format | Journal article |
| id | oxford-uuid:4dea343e-520c-4e7e-9bce-e2d4b1edcaff |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T21:58:54Z |
| publishDate | 2001 |
| publisher | Blackwell Publishing |
| record_format | dspace |
| spelling | oxford-uuid:4dea343e-520c-4e7e-9bce-e2d4b1edcaff2022-03-26T15:58:07ZNon-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics Journal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:4dea343e-520c-4e7e-9bce-e2d4b1edcaffEconometricsEconomicsFinancial economicsEnglishOxford University Research Archive - ValetBlackwell Publishing2001Barndorff-Nielsen, OShephard, NRoyal Statistical SocietyNon-Gaussian processes of Ornstein–Uhlenbeck (OU) type offer the possibility of capturing important distributional deviations from Gaussianity and for flexible modelling of dependence structures. This paper develops this potential, drawing on and extending powerful results from probability theory for applications in statistical analysis. Their power is illustrated by a sustained application of OU processes within the context of finance and econometrics. We construct continuous time stochastic volatility models for financial assets where the volatility processes are superpositions of positive OU processes, and we study these models in relation to financial data and theory. |
| spellingShingle | Econometrics Economics Financial economics Barndorff-Nielsen, O Shephard, N Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics |
| title | Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics |
| title_full | Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics |
| title_fullStr | Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics |
| title_full_unstemmed | Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics |
| title_short | Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics |
| title_sort | non gaussian ornstein uhlenbeck based models and some of their uses in financial economics |
| topic | Econometrics Economics Financial economics |
| work_keys_str_mv | AT barndorffnielseno nongaussianornsteinuhlenbeckbasedmodelsandsomeoftheirusesinfinancialeconomics AT shephardn nongaussianornsteinuhlenbeckbasedmodelsandsomeoftheirusesinfinancialeconomics |