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: | , |
|---|---|
| פורמט: | Working paper |
| שפה: | English |
| יצא לאור: |
Nuffield College (University of Oxford)
1998
|