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...

Bibliografski detalji
Glavni autori:	Barndorff-Nielsen, O, Shephard, N
Format:	Working paper
Jezik:	English
Izdano:	Nuffield College (University of Oxford) 1998

Slični predmeti

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Modelling and measuring volatility
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Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models.
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Realised power variation and stochastic volatility models.
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Integrated OU processes and non-Gaussian OU-based stochastic volatility models
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Some recent developments in stochastic volatility modelling
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Some recent developments in stochastic volatility modelling.
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Multipower Variation and Stochastic Volatility.
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Estimating quadratic variation using realised volatility.
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Power and bipower variation with stochastic volatility and jumps.
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Power and Bipower Variation with Stochastic Volatility and Jumps.
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Power and bipower variation with stochastic volatility and jumps
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How accurate is the asymptotic approximation to the distribution of realised volatility?
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A Feasible Central Limit Theory for Realised Volatility Under Leverage.
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Power variation and stochastic volatility: a review and some new results
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Power variation & stochastic volatility: a review and some new results.
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Modelling by Levy Processes for Financial Econometrics.
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Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
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Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
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Some Recent Developments in Stochastic Volatility Modelling.
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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)].
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Measuring and forecasting financial variability using realised variance with and without a model.
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Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation.
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Econometrics of testing for jumps in financial economics using bipower variation.
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Power variation and time change
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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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Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
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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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Realized Variance and Market Microstructure Noise: Comment.
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Power variation and time change
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Variation, jumps, market frictions and high frequency data in financial econometrics.
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Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics.
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