Some recent developments in stochastic volatility modelling.

Some recent developments in stochastic volatility modelling.

عرض إصدارات أخرى (2)

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...

وصف كامل

التفاصيل البيبلوغرافية
المؤلفون الرئيسيون:	Barndorff-Nielsen, O, Nicolato, E, Shephard, N
التنسيق:	Working paper
اللغة:	English
منشور في:	Nuffield College (University of Oxford) 2001

مواد مشابهة

Some recent developments in stochastic volatility modelling
حسب: Barndorff-Nielsen, O, وآخرون
منشور في: (2002)

Some Recent Developments in Stochastic Volatility Modelling.
حسب: Nielsen, O, وآخرون
منشور في: (2002)

Power variation and stochastic volatility: a review and some new results
حسب: Barndorff-Nielsen, O, وآخرون
منشور في: (2004)

Higher order variation and stochastic volatility models.
حسب: Barndorff-Nielsen, O, وآخرون
منشور في: (2001)

Realised power variation and stochastic volatility models.
حسب: Barndorff-Nielsen, O, وآخرون
منشور في: (2001)

Realised power variation and stochastic volatility models
حسب: Barndorff-Nielsen, O, وآخرون
منشور في: (2003)

Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models.
حسب: Barndorff-Nielsen, O, وآخرون
منشور في: (2001)

Econometric analysis of realised volatility and its use in estimating stochastic volatility models
حسب: Shephard, N, وآخرون
منشور في: (2001)

Multipower Variation and Stochastic Volatility.
حسب: Barndorff-Nielsen, O, وآخرون
منشور في: (2004)

Power variation & stochastic volatility: a review and some new results.
حسب: Barndorff-Nielsen, O, وآخرون
منشور في: (2003)

Power and bipower variation with stochastic volatility and jumps.
حسب: Barndorff-Nielsen, O, وآخرون
منشور في: (2003)

Power and Bipower Variation with Stochastic Volatility and Jumps.
حسب: Barndorff-Nielsen, O, وآخرون
منشور في: (2004)

Power and bipower variation with stochastic volatility and jumps
حسب: Barndorff-Nielsen, O, وآخرون
منشور في: (2004)

Integrated OU processes and non-Gaussian OU-based stochastic volatility models
حسب: Barndorff-Nielsen, O, وآخرون
منشور في: (2003)

Integrated OU processes and non-Gaussian OU-based stochastic volatility models
حسب: Shephard, N, وآخرون
منشور في: (2003)

Modelling and measuring volatility.
حسب: Barndorff-Nielsen, O, وآخرون
منشور في: (2008)

Modelling and measuring volatility
حسب: Shephard, N, وآخرون
منشور في: (2008)

Aggregation and Model Construction for Volatility Models.
حسب: Barndorff-Nielsen, O, وآخرون
منشور في: (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)].
حسب: Nielsen, O, وآخرون
منشور في: (2005)

Estimating quadratic variation using realised volatility.
حسب: Barndorff-Nielsen, O, وآخرون
منشور في: (2001)

Stochastic Volatility.
حسب: Shephard, N
منشور في: (2005)

How accurate is the asymptotic approximation to the distribution of realised volatility?
حسب: Barndorff-Nielsen, O, وآخرون
منشور في: (2001)

A Feasible Central Limit Theory for Realised Volatility Under Leverage.
حسب: Barndorff-Nielsen, O, وآخرون
منشور في: (2004)

Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
حسب: Barndorff-Nielsen, O, وآخرون
منشور في: (2001)

Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
حسب: Shephard, N, وآخرون
منشور في: (2001)

Bayesian Analysis of Stochastic Volatility Models: Comment.
حسب: Shephard, N, وآخرون
منشور في: (1994)

Stochastic Volatility: Origins and Overview.
حسب: Shephard, N, وآخرون
منشور في: (2008)

Stochastic volatility: origins and overview
حسب: Shephard, N, وآخرون
منشور في: (2008)

Stochastic volatility: likelihood inference and comparison with ARCH models.
حسب: Kim, S, وآخرون
منشور في: (1994)

Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models.
حسب: Kim, S, وآخرون
منشور في: (2005)

Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns.
حسب: Harvey, A, وآخرون
منشور في: (1996)

Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models.
حسب: Kim, S, وآخرون
منشور في: (2003)

Analysis of High Dimensional Multivariate Stochastic Volatility Models.
حسب: Chib, S, وآخرون
منشور في: (2006)

Analysis of high dimensional multivariate stochastic volatility models
حسب: Chib, S, وآخرون
منشور في: (2006)

Stochastic Volatility: Selected Readings: General Introduction.
حسب: Shephard, N
منشور في: (2005)

Markov chain Monte Carlo methods for stochastic volatility models
حسب: Chib, S, وآخرون
منشور في: (2002)

Markov Chain Monte Carlo Methods for Stochastic Volatility Models.
حسب: Chib, S, وآخرون
منشور في: (2002)

Stochastic volatility with leverage: fast likelihood inference.
حسب: Omori, Y, وآخرون
منشور في: (2004)

Modelling by Levy Processes for Financial Econometrics.
حسب: Barndorff-Nielsen, O, وآخرون
منشور في: (2001)

Stochastic Volatility with Leverage: Fast and Efficient Likelihood Inference.
حسب: Omori, Y, وآخرون
منشور في: (2007)