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Integrated OU Processes and Non-Gaussian OU-based Stochastic Volatility Models.
- Source :
- Scandinavian Journal of Statistics; Jun2003, Vol. 30 Issue 2, p277-295, 19p
- Publication Year :
- 2003
-
Abstract
- Abstract. In this paper, we study the detailed distributional properties of integrated non-Gaussian Ornstein–Uhlenbeck (intOU) processes. Both exact and approximate results are given. We emphasize the study of the tail behaviour of the intOU process. Our results have many potential applications in financial economics, as OU processes are used as models of instantaneous variance in stochastic volatility (SV) models. In this case, an intOU process can be regarded as a model of integrated variance. Hence, the tail behaviour of the intOU process will determine the tail behaviour of returns generated by SV models. [ABSTRACT FROM AUTHOR]
- Subjects :
- LEVY processes
ANALYSIS of variance
ECONOMETRICS
MATHEMATICS
Subjects
Details
- Language :
- English
- ISSN :
- 03036898
- Volume :
- 30
- Issue :
- 2
- Database :
- Complementary Index
- Journal :
- Scandinavian Journal of Statistics
- Publication Type :
- Academic Journal
- Accession number :
- 9666258
- Full Text :
- https://doi.org/10.1111/1467-9469.00331