The estimation of the Barndorff‐Nielsen and Shephard model from daily data based on measures of trading intensity

Carl Lindberg

Applied Stochastic Models in Business and Industry, 2008, vol. 24, issue 4, 277-289

Abstract: We give a method to fit the Barndorff‐Nielsen and Shephard model [J. R. Stat. Soc. Ser. B 2001; 63:167–241] to daily data. Many researchers have established a connection between volatility and different measures of trading intensity, such as traded volume or number of trades. We benefit from this connection, and propose to use some measure of trading intensity as the volatility in the model in [J. R. Stat. Soc. Ser. B 2001; 63:167–241]. Our approach gives stable parameter estimates, and it is much easier to implement than the quadratic variation method. The efficiency of our method is illustrated by a statistical analysis on the Ericsson stock from the OMX Stockholmsbörsen during an exceptionally turbulent period of five years. The results indicate a good model fit. Copyright © 2007 John Wiley & Sons, Ltd.

Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1002/asmb.702

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:24:y:2008:i:4:p:277-289

Access Statistics for this article

More articles in Applied Stochastic Models in Business and Industry from John Wiley & Sons
Bibliographic data for series maintained by Wiley Content Delivery ().