The estimation of the Barndorff-Nielsen and Shephard model from daily data based on measures of trading intensity
DOI10.1002/asmb.702zbMath1199.91268OpenAlexW2170509729MaRDI QIDQ3552628
Publication date: 22 April 2010
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/asmb.702
stochastic volatilitynormal inverse Gaussian distributionBarndorff-Nielsen modelShephard modelgeneralized hyperbolic distributiontrading intensitynumber of trades
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05) Financial applications of other theories (91G80)
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Cites Work
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