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...
| Autores principales: | , |
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| Formato: | Working paper |
| Lenguaje: | English |
| Publicado: |
Nuffield College (University of Oxford)
1998
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