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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,...

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Publication status:
Published
Peer review status:
Peer reviewed

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Publisher copy:
10.1111/1467-9469.00331

Authors


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Institution:
University of Aarhus
Department:
Department of Mathematical Sciences
Role:
Author
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Institution:
University of Oxford
Research group:
Econometrics
Oxford college:
Nuffield College
Department:
Social Sciences Division - Economics
Role:
Author
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Funding agency for:
Ole E. Barndorff-Nielsen
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Funding agency for:
Ole E. Barndorff-Nielsen
Publisher:
Blackwell Publishing Publisher's website
Journal:
Scandinavian Journal of Statistics Journal website
Volume:
30
Issue:
2
Pages:
277-295
Publication date:
2003-06-05
DOI:
EISSN:
1467-9469
ISSN:
0303-6898
URN:
uuid:a3347259-fe64-4dcb-b1d2-5913a465865d
Local pid:
ora:2073
Language:
English
Subjects:

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