Aggregation and Model Construction for Volatility Models.
In this paper we will rigourously study some of the properties of continuous time stochastic volatility models. We have five main results, including: the stochastic volatility class can be linked to Cox process based models of tick-by-tick financial data; we characterise the moments, autocorrelation...
| Prif Awduron: | , |
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| Fformat: | Working paper |
| Iaith: | English |
| Cyhoeddwyd: |
Nuffield College (University of Oxford)
1998
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| Crynodeb: | In this paper we will rigourously study some of the properties of continuous time stochastic volatility models. We have five main results, including: the stochastic volatility class can be linked to Cox process based models of tick-by-tick financial data; we characterise the moments, autocorrelation function and spectrum of squared returns; based only on discrete time returns, we give a simple consistent and asymptotically normally distributed estimator of continuous time volatility models without any simulation or discretisation error. |
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