Aggregation and Model Construction for Volatility Models.

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...

Bibliografiset tiedot
Päätekijät:	Barndorff-Nielsen, O, Shephard, N
Aineistotyyppi:	Working paper
Kieli:	English
Julkaistu:	Nuffield College (University of Oxford) 1998

Samankaltaisia teoksia

Modelling and measuring volatility.
Tekijä: Barndorff-Nielsen, O, et al.
Julkaistu: (2008)

Modelling and measuring volatility
Tekijä: Shephard, N, et al.
Julkaistu: (2008)

Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models.
Tekijä: Barndorff-Nielsen, O, et al.
Julkaistu: (2001)

Econometric analysis of realised volatility and its use in estimating stochastic volatility models
Tekijä: Shephard, N, et al.
Julkaistu: (2001)

Realised power variation and stochastic volatility models
Tekijä: Barndorff-Nielsen, O, et al.
Julkaistu: (2003)

Higher order variation and stochastic volatility models.
Tekijä: Barndorff-Nielsen, O, et al.
Julkaistu: (2001)

Realised power variation and stochastic volatility models.
Tekijä: Barndorff-Nielsen, O, et al.
Julkaistu: (2001)

Integrated OU processes and non-Gaussian OU-based stochastic volatility models
Tekijä: Barndorff-Nielsen, O, et al.
Julkaistu: (2003)

Integrated OU processes and non-Gaussian OU-based stochastic volatility models
Tekijä: Shephard, N, et al.
Julkaistu: (2003)

Some recent developments in stochastic volatility modelling
Tekijä: Barndorff-Nielsen, O, et al.
Julkaistu: (2002)

Some recent developments in stochastic volatility modelling.
Tekijä: Barndorff-Nielsen, O, et al.
Julkaistu: (2001)

Multipower Variation and Stochastic Volatility.
Tekijä: Barndorff-Nielsen, O, et al.
Julkaistu: (2004)

Estimating quadratic variation using realised volatility.
Tekijä: Barndorff-Nielsen, O, et al.
Julkaistu: (2001)

Power and bipower variation with stochastic volatility and jumps.
Tekijä: Barndorff-Nielsen, O, et al.
Julkaistu: (2003)

Power and Bipower Variation with Stochastic Volatility and Jumps.
Tekijä: Barndorff-Nielsen, O, et al.
Julkaistu: (2004)

Power and bipower variation with stochastic volatility and jumps
Tekijä: Barndorff-Nielsen, O, et al.
Julkaistu: (2004)

How accurate is the asymptotic approximation to the distribution of realised volatility?
Tekijä: Barndorff-Nielsen, O, et al.
Julkaistu: (2001)

A Feasible Central Limit Theory for Realised Volatility Under Leverage.
Tekijä: Barndorff-Nielsen, O, et al.
Julkaistu: (2004)

Power variation and stochastic volatility: a review and some new results
Tekijä: Barndorff-Nielsen, O, et al.
Julkaistu: (2004)

Power variation & stochastic volatility: a review and some new results.
Tekijä: Barndorff-Nielsen, O, et al.
Julkaistu: (2003)

Modelling by Levy Processes for Financial Econometrics.
Tekijä: Barndorff-Nielsen, O, et al.
Julkaistu: (2001)

Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
Tekijä: Barndorff-Nielsen, O, et al.
Julkaistu: (2001)

Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
Tekijä: Shephard, N, et al.
Julkaistu: (2001)

Some Recent Developments in Stochastic Volatility Modelling.
Tekijä: Nielsen, O, et al.
Julkaistu: (2002)

Econometric Analysis of Realized Volatility and Its Use in Estimating Stochastic Volatility Models [Non-Gaussian Ornstein-Uhlenbeck-Based Models and Some of Their Uses in Financial Economics (with Discussion)].
Tekijä: Nielsen, O, et al.
Julkaistu: (2005)

Measuring and forecasting financial variability using realised variance with and without a model.
Tekijä: Barndorff-Nielsen, O, et al.
Julkaistu: (2002)

Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation.
Tekijä: Barndorff-Nielsen, O, et al.
Julkaistu: (2006)

Econometrics of testing for jumps in financial economics using bipower variation.
Tekijä: Barndorff-Nielsen, O, et al.
Julkaistu: (2003)

Power variation and time change
Tekijä: Shephard, N, et al.
Julkaistu: (2006)

Estimating quadratic variation using realized variance
Tekijä: Barndorff-Nielsen, O, et al.
Julkaistu: (2002)

Estimating Quadratic Variation Using Realized Variance.
Tekijä: Barndorff-Nielsen, O, et al.
Julkaistu: (2002)

Econometric analysis of realised covariation: high frequency based covariance, regression and correlation in financial economics
Tekijä: Barndorff-Nielsen, O, et al.
Julkaistu: (2004)

Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
Tekijä: Barndorff-Nielsen, O, et al.
Julkaistu: (2005)

Power Variation and Time Change.
Tekijä: Barndorff-Nielsen, O, et al.
Julkaistu: (2002)

Normal Modified Stable Processes.
Tekijä: Shephard, N, et al.
Julkaistu: (2001)

Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics.
Tekijä: Barndorff-Nielsen, O, et al.
Julkaistu: (2001)

Realized Variance and Market Microstructure Noise: Comment.
Tekijä: Barndorff-Nielsen, O, et al.
Julkaistu: (2006)

Power variation and time change
Tekijä: Barndorff-Nielsen, O, et al.
Julkaistu: (2006)

Variation, jumps, market frictions and high frequency data in financial econometrics.
Tekijä: Barndorff-Nielsen, O, et al.
Julkaistu: (2005)

Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics.
Tekijä: Barndorff-Nielsen, O, et al.
Julkaistu: (2004)