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...

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Dettagli Bibliografici
Autori principali:	Barndorff-Nielsen, O, Shephard, N
Natura:	Working paper
Lingua:	English
Pubblicazione:	Nuffield College (University of Oxford) 1998

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