Scandinavian journal of statistics, 2003-06, Vol.30 (2), p.277-295
2003
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Details
- Autor(en) / Beteiligte
- Titel
- Integrated OU Processes and Non-Gaussian OU-based Stochastic Volatility Models
- Ist Teil von
- Scandinavian journal of statistics, 2003-06, Vol.30 (2), p.277-295
- Ort / Verlag
- Oxford, UK: Blackwell Publishing Ltd
- Erscheinungsjahr
- 2003
- Quelle
- Wiley-Blackwell Journals
- Beschreibungen/Notizen
- 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.
- Sprache
- Englisch
- Identifikatoren
- ISSN: 0303-6898eISSN: 1467-9469DOI: 10.1111/1467-9469.00331Titel-ID: cdi_crossref_primary_10_1111_1467_9469_00331
- Format
- –
- Schlagworte
- Applications, background driving Lévy process, Brownian motion, chronometer, co-break, Datasets, econometrics, Economic models, Estimators, Exact sciences and technology, Exchange rates, Insurance, economics, finance, integrated variance, Kumulant function, Linear inference, regression, Lévy density, Lévy process, Mathematics, Modeling, Non Gaussianity, option pricing, OU processes, Probability and statistics, Sciences and techniques of general use, Statistical variance, Statistics, Stochastic models, stochastic volatility, Variance