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...

पूर्ण विवरण

ग्रंथसूची विवरण
मुख्य लेखकों:	Barndorff-Nielsen, O, Shephard, N
स्वरूप:	Working paper
भाषा:	English
प्रकाशित:	Nuffield College (University of Oxford) 1998

समान संसाधन

Modelling and measuring volatility.
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2008)

Modelling and measuring volatility
द्वारा: Shephard, N, और अन्य
प्रकाशित: (2008)

Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models.
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2001)

Econometric analysis of realised volatility and its use in estimating stochastic volatility models
द्वारा: Shephard, N, और अन्य
प्रकाशित: (2001)

Realised power variation and stochastic volatility models
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2003)

Higher order variation and stochastic volatility models.
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2001)

Realised power variation and stochastic volatility models.
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2001)

Integrated OU processes and non-Gaussian OU-based stochastic volatility models
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2003)

Integrated OU processes and non-Gaussian OU-based stochastic volatility models
द्वारा: Shephard, N, और अन्य
प्रकाशित: (2003)

Some recent developments in stochastic volatility modelling
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2002)

Some recent developments in stochastic volatility modelling.
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2001)

Multipower Variation and Stochastic Volatility.
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2004)

Estimating quadratic variation using realised volatility.
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2001)

Power and bipower variation with stochastic volatility and jumps.
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2003)

Power and Bipower Variation with Stochastic Volatility and Jumps.
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2004)

Power and bipower variation with stochastic volatility and jumps
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2004)

How accurate is the asymptotic approximation to the distribution of realised volatility?
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2001)

A Feasible Central Limit Theory for Realised Volatility Under Leverage.
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2004)

Power variation and stochastic volatility: a review and some new results
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2004)

Power variation & stochastic volatility: a review and some new results.
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2003)

Modelling by Levy Processes for Financial Econometrics.
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2001)

Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2001)

Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
द्वारा: Shephard, N, और अन्य
प्रकाशित: (2001)

Some Recent Developments in Stochastic Volatility Modelling.
द्वारा: Nielsen, O, और अन्य
प्रकाशित: (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)].
द्वारा: Nielsen, O, और अन्य
प्रकाशित: (2005)

Measuring and forecasting financial variability using realised variance with and without a model.
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2002)

Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation.
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2006)

Econometrics of testing for jumps in financial economics using bipower variation.
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2003)

Power variation and time change
द्वारा: Shephard, N, और अन्य
प्रकाशित: (2006)

Estimating quadratic variation using realized variance
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2002)

Estimating Quadratic Variation Using Realized Variance.
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2002)

Econometric analysis of realised covariation: high frequency based covariance, regression and correlation in financial economics
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2004)

Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2005)

Power Variation and Time Change.
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2002)

Normal Modified Stable Processes.
द्वारा: Shephard, N, और अन्य
प्रकाशित: (2001)

Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics.
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2001)

Realized Variance and Market Microstructure Noise: Comment.
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2006)

Power variation and time change
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2006)

Variation, jumps, market frictions and high frequency data in financial econometrics.
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2005)

Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics.
द्वारा: Barndorff-Nielsen, O, और अन्य
प्रकाशित: (2004)