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...

Disgrifiad llawn

Manylion Llyfryddiaeth
Prif Awduron:	Barndorff-Nielsen, O, Shephard, N
Fformat:	Working paper
Iaith:	English
Cyhoeddwyd:	Nuffield College (University of Oxford) 1998

Eitemau Tebyg

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

Modelling and measuring volatility
gan: Shephard, N, et al.
Cyhoeddwyd: (2008)

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Some Recent Developments in Stochastic Volatility Modelling.
gan: Nielsen, O, et al.
Cyhoeddwyd: (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)].
gan: Nielsen, O, et al.
Cyhoeddwyd: (2005)

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

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

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

Power variation and time change
gan: Shephard, N, et al.
Cyhoeddwyd: (2006)

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

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

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

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

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

Normal Modified Stable Processes.
gan: Shephard, N, et al.
Cyhoeddwyd: (2001)

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

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

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

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

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