Some recent developments in stochastic volatility modelling.

Some recent developments in stochastic volatility modelling.

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This paper reviews and puts in context some of our recent work on stochastic volatility modelling for financial economics. Here our main focus is on: (i) the relationship between subordination and stochastic volatility, (ii) OU based volatility models, (iii) exact option pricing, (iv) realised power...

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Bibliografiske detaljer
Main Authors:	Barndorff-Nielsen, O, Nicolato, E, Shephard, N
Format:	Working paper
Sprog:	English
Udgivet:	Nuffield College (University of Oxford) 2001

Lignende værker

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

Some Recent Developments in Stochastic Volatility Modelling.
af: Nielsen, O, et al.
Udgivet: (2002)

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Modelling and measuring volatility
af: Shephard, N, et al.
Udgivet: (2008)

Aggregation and Model Construction for Volatility Models.
af: Barndorff-Nielsen, O, et al.
Udgivet: (1998)

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)].
af: Nielsen, O, et al.
Udgivet: (2005)

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

Stochastic Volatility.
af: Shephard, N
Udgivet: (2005)

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

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

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

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

Bayesian Analysis of Stochastic Volatility Models: Comment.
af: Shephard, N, et al.
Udgivet: (1994)

Stochastic Volatility: Origins and Overview.
af: Shephard, N, et al.
Udgivet: (2008)

Stochastic volatility: origins and overview
af: Shephard, N, et al.
Udgivet: (2008)

Stochastic volatility: likelihood inference and comparison with ARCH models.
af: Kim, S, et al.
Udgivet: (1994)

Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models.
af: Kim, S, et al.
Udgivet: (2005)

Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns.
af: Harvey, A, et al.
Udgivet: (1996)

Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models.
af: Kim, S, et al.
Udgivet: (2003)

Analysis of High Dimensional Multivariate Stochastic Volatility Models.
af: Chib, S, et al.
Udgivet: (2006)

Analysis of high dimensional multivariate stochastic volatility models
af: Chib, S, et al.
Udgivet: (2006)

Stochastic Volatility: Selected Readings: General Introduction.
af: Shephard, N
Udgivet: (2005)

Markov chain Monte Carlo methods for stochastic volatility models
af: Chib, S, et al.
Udgivet: (2002)

Markov Chain Monte Carlo Methods for Stochastic Volatility Models.
af: Chib, S, et al.
Udgivet: (2002)

Stochastic volatility with leverage: fast likelihood inference.
af: Omori, Y, et al.
Udgivet: (2004)

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

Stochastic Volatility with Leverage: Fast and Efficient Likelihood Inference.
af: Omori, Y, et al.
Udgivet: (2007)