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...

书目详细资料
Main Authors:	Barndorff-Nielsen, O, Shephard, N
格式:	Working paper
语言:	English
出版:	Nuffield College (University of Oxford) 1998

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