Integrated OU processes and non-Gaussian OU-based stochastic volatility modelsReport as inadecuate




Integrated OU processes and non-Gaussian OU-based stochastic volatility models - Download this document for free, or read online. Document in PDF available to download.

Reference: Neil Shephard and Ole E. Barndorff-Nielsen, (2003). Integrated OU processes and non-Gaussian OU-based stochastic volatility models. Scandinavian Journal of Statistics, 30.Citable link to this page:

 

Integrated OU processes and non-Gaussian OU-based stochastic volatility models

Abstract: In this paper, we study the detailed distributional properties of integrated non-Gaussian Ornstein–Uhlenbeck (intOU) processes. Both exact and approximate results are given. We emphasize the study of the tail behaviour of the intOU process. Our results have many potential applications in financial economics, as OU processes are used as models of instantaneous variance in stochastic volatility (SV) models. In this case, an intOU process can be regarded as a model of integrated variance. Hence, the tail behaviour of the intOU process will determine the tail behaviour of returns generated by SV models.

Bibliographic Details

Host: Scandinavian Journal of Statisticssee more from them

Issue Date: 2003Identifiers

Doi: https://doi.org/10.1111/1467-9469.00331

Urn: uuid:fa77d209-7be9-4a8a-9219-cc5028fb3be0 Item Description

Type: info:eu-repo/semantics/article;

Language: en

Relationships





Author: Neil Shephard - - - Ole E. Barndorff-Nielsen - - - - Bibliographic Details Host: Scandinavian Journal of Statistics see more from

Source: https://ora.ox.ac.uk/objects/uuid:fa77d209-7be9-4a8a-9219-cc5028fb3be0



DOWNLOAD PDF




Related documents