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...

Bibliográfalaš dieđut
Váldodahkkit:	Barndorff-Nielsen, O, Shephard, N
Materiálatiipa:	Working paper
Giella:	English
Almmustuhtton:	Nuffield College (University of Oxford) 1998

Geahča maid

Modelling and measuring volatility.
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2008)

Modelling and measuring volatility
Dahkki: Shephard, N, et al.
Almmustuhtton: (2008)

Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models.
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2001)

Econometric analysis of realised volatility and its use in estimating stochastic volatility models
Dahkki: Shephard, N, et al.
Almmustuhtton: (2001)

Realised power variation and stochastic volatility models
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2003)

Higher order variation and stochastic volatility models.
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2001)

Realised power variation and stochastic volatility models.
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2001)

Integrated OU processes and non-Gaussian OU-based stochastic volatility models
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2003)

Integrated OU processes and non-Gaussian OU-based stochastic volatility models
Dahkki: Shephard, N, et al.
Almmustuhtton: (2003)

Some recent developments in stochastic volatility modelling
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2002)

Some recent developments in stochastic volatility modelling.
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2001)

Multipower Variation and Stochastic Volatility.
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2004)

Estimating quadratic variation using realised volatility.
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2001)

Power and bipower variation with stochastic volatility and jumps.
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2003)

Power and Bipower Variation with Stochastic Volatility and Jumps.
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2004)

Power and bipower variation with stochastic volatility and jumps
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2004)

How accurate is the asymptotic approximation to the distribution of realised volatility?
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2001)

A Feasible Central Limit Theory for Realised Volatility Under Leverage.
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2004)

Power variation and stochastic volatility: a review and some new results
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2004)

Power variation & stochastic volatility: a review and some new results.
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2003)

Modelling by Levy Processes for Financial Econometrics.
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2001)

Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2001)

Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
Dahkki: Shephard, N, et al.
Almmustuhtton: (2001)

Some Recent Developments in Stochastic Volatility Modelling.
Dahkki: Nielsen, O, et al.
Almmustuhtton: (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)].
Dahkki: Nielsen, O, et al.
Almmustuhtton: (2005)

Measuring and forecasting financial variability using realised variance with and without a model.
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2002)

Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation.
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2006)

Econometrics of testing for jumps in financial economics using bipower variation.
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2003)

Power variation and time change
Dahkki: Shephard, N, et al.
Almmustuhtton: (2006)

Estimating quadratic variation using realized variance
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2002)

Estimating Quadratic Variation Using Realized Variance.
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2002)

Econometric analysis of realised covariation: high frequency based covariance, regression and correlation in financial economics
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2004)

Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2005)

Power Variation and Time Change.
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2002)

Normal Modified Stable Processes.
Dahkki: Shephard, N, et al.
Almmustuhtton: (2001)

Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics.
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2001)

Realized Variance and Market Microstructure Noise: Comment.
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2006)

Power variation and time change
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2006)

Variation, jumps, market frictions and high frequency data in financial econometrics.
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2005)

Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics.
Dahkki: Barndorff-Nielsen, O, et al.
Almmustuhtton: (2004)