Non-Gaussian OU Based Models and Some of their Uses in Financial Economics and Modelling by Levy Processes for Financial Econometrics

Ole Barndorff-Nielsen and N. Shepard
Authors registered in the RePEc Author Service: Neil Shephard ()

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

Abstract: Non-Gaussian processes of Ornsetin-Uhlenbeck type, or OU processes for short, offer the possibility of capturing important distributional deviations from Gaussianity and for flexible modeling of dependence structure. This paper develops this potential, drawing on and extending powerful results from probability theory for application in statistical analysis.// The other paper reviews some of recent work in which Levy processe are used to model and analyse time series from financial econometrics. A main feature of the paper is the use of positive Ornstein-Uhlenbeck (OU) type processes inside stochastic volatility processes. The basic probability theory associated with such models is discussed in some detail.

Keywords: ECONOMETRICS; FINANCIAL MARKET (search for similar items in EconPapers)
JEL-codes: C00 C50 G10 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:nuf:econwp:1999-w9/2000-w3

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