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...

Cur síos iomlán

Sonraí bibleagrafaíochta
Príomhchruthaitheoirí:	Barndorff-Nielsen, O, Shephard, N
Formáid:	Working paper
Teanga:	English
Foilsithe / Cruthaithe:	Nuffield College (University of Oxford) 1998

Míreanna comhchosúla

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Econometrics of testing for jumps in financial economics using bipower variation.
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Estimating quadratic variation using realized variance
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Estimating Quadratic Variation Using Realized Variance.
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Econometric analysis of realised covariation: high frequency based covariance, regression and correlation in financial economics
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Power Variation and Time Change.
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Normal Modified Stable Processes.
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Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics.
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Power variation and time change
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Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics.
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