Modelling by Lévy Processess for Financial Econometrics

Ole Barndorff-Nielsen and Neil Shephard ()
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Neil Shephard: University of Oxford, Nuffield College

A chapter in Lévy Processes, 2001, pp 283-318 from Springer

Abstract: Abstract This paper reviews some recent work in which Lévy processes are used to model and analyse time series from financial econometrics. A main feature of the paper is the use of posi- tive Ornstein-Uhlenbeck-type (OU-type) processes inside stochastic volatility processes. The basic probability theory associated with such models is discussed in some detail.

Keywords: Stochastic Volatility; Stochastic Volatility Model; Inverse Gaussian Distribution; Cumulant Generate Function; Levy Process (search for similar items in EconPapers)
Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4612-0197-7_13

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DOI: 10.1007/978-1-4612-0197-7_13

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