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...
| Main Authors: | , |
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| Format: | Working paper |
| Language: | English |
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Nuffield College (University of Oxford)
1998
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| _version_ | 1826281781779759104 |
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| author | Barndorff-Nielsen, O Shephard, N |
| author_facet | Barndorff-Nielsen, O Shephard, N |
| author_sort | Barndorff-Nielsen, O |
| collection | OXFORD |
| description | 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. |
| first_indexed | 2024-03-07T00:33:59Z |
| format | Working paper |
| id | oxford-uuid:80c1c6dd-5553-43a6-9d6a-46d9d2b5ff7c |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T00:33:59Z |
| publishDate | 1998 |
| publisher | Nuffield College (University of Oxford) |
| record_format | dspace |
| spelling | oxford-uuid:80c1c6dd-5553-43a6-9d6a-46d9d2b5ff7c2022-03-26T21:25:42ZAggregation and Model Construction for Volatility Models.Working paperhttp://purl.org/coar/resource_type/c_8042uuid:80c1c6dd-5553-43a6-9d6a-46d9d2b5ff7cEnglishDepartment of Economics - ePrintsNuffield College (University of Oxford)1998Barndorff-Nielsen, OShephard, NIn 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. |
| spellingShingle | Barndorff-Nielsen, O Shephard, N Aggregation and Model Construction for Volatility Models. |
| title | Aggregation and Model Construction for Volatility Models. |
| title_full | Aggregation and Model Construction for Volatility Models. |
| title_fullStr | Aggregation and Model Construction for Volatility Models. |
| title_full_unstemmed | Aggregation and Model Construction for Volatility Models. |
| title_short | Aggregation and Model Construction for Volatility Models. |
| title_sort | aggregation and model construction for volatility models |
| work_keys_str_mv | AT barndorffnielseno aggregationandmodelconstructionforvolatilitymodels AT shephardn aggregationandmodelconstructionforvolatilitymodels |