Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models
From MaRDI portal
Publication:3019508
DOI10.1080/14697680903547907zbMath1217.91209arXiv0807.3464OpenAlexW2138189809MaRDI QIDQ3019508
Petra Posedel, Friedrich Hubalek
Publication date: 28 July 2011
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0807.3464
martingale estimating functionsstochastic volatility models with jumpsconsistency and asymptotic normalitytrading intensity
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Related Items
Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option ⋮ Limit experiments of GARCH ⋮ Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models ⋮ On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps ⋮ GENERALIZED BN–S STOCHASTIC VOLATILITY MODEL FOR OPTION PRICING ⋮ Symmetry and Bates' rule in Ornstein-Uhlenbeck stochastic volatility models
Cites Work
- Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility
- Estimating equations based on eigenfunctions for a discretely observed diffusion process
- Martingale estimation functions for discretely observed diffusion processes
- Discretely Observed Diffusions: Classes of Estimating Functions and Small Δ‐optimality
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
- Term Structure Models Driven by General Levy Processes
- Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models
- Computational Aspects Related to Martingale Estimating Functions for a Discretely Observed Diffusion
- Estimation for Discretely Observed Small Diffusions Based on Approximate Martingale Estimating Functions
- Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
- Simple and Explicit Estimating Functions for a Discretely Observed Diffusion Process
- Method of moment estimation in the COGARCH(1,1) model
