Chapter2001

Modelling by Lévy Processess for Financial Econometrics

Ole Eiler Barndorff-Nielsen · Neil Shephard

152 citations0/0 files storedBirkhäuser Boston eBooks

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis

Abstract

This paper reviews some recent work in which Lévy processes are used to model and analyse time series from financial econometrics. A main feature of the paper is the use of posi- tive Ornstein-Uhlenbeck-type (OU-type) processes inside stochastic volatility processes. The basic probability theory associated with such models is discussed in some detail. These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach 2012The Econometrics of Financial Markets 1997The Econometrics of Financial Markets 2005Stochastic Integration and Differential Equations 2000An Introduction to Econophysics: Correlations and Complexity in Finance 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics 1987Limit Theorems for Stochastic Processes

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2011Affine processes on positive semidefinite matrices 2004On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process 2005Long range dependence in financial markets 2002Some recent developments in stochastic volatility modelling 2007Implicit–explicit numerical schemes for jump–diffusion processes 2005Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes

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