Aggregation and Model Construction for Volatility Models

O.E. Barndorf-Nielsen and Neil Shephard ()

Economics Papers from Economics Group, Nuffield College, University of Oxford

Abstract: In this paper we will rigourously study some of the properties of continuous time stochastic volatility models. We have five main results, including: the stochastic volatility class can be linked to Cox process based models of tick-by-tick financial data; we characterise the moments, autocorrelation function and spectrum of squared returns; based only on discrete time returns, we give a simple consistent and asymptotically normally distributed estimator of continuous time volatility models without any simulation or discretisation error.

Keywords: MODELS (search for similar items in EconPapers)
JEL-codes: C43 C51 (search for similar items in EconPapers)
Pages: 36 pages
Date: 1998
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Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:nuf:econwp:141

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