Non-Gaussian Ornstein-Uhlenbeck-based Models and Some of their Uses in Financial Economics - Discussion

Hodges, S.D. and Roberts, G. and Papaspiliopoulos, O. and Sentana, E. and Bingham, N.H. and Cox, David and Nicolato, E. and Venardos, E. and Critchley, F. and Davis, M.H.A. and Tompkins, R. and Benth, F.E. and Karlsen, K.H. and Reikvam, K. and Brockwell, P.J. and Davis, Rohan A. and Christensen, B.J. and Dellaportas, Paraskevi and McCoy, E.J. and Stephens, D. and Diebold, F.X. and Fruhwirth-Schnatter, S. and Genon-Catalot, V. and Laredo, C. and Granger, Clive W.J. and Griffin, Jim E. and Steel, Mark F.J. and Hobson, David M. and Jensen, J.L. and Jones, M.C. and Lawrance, A.J. and Ledford, A.W. and Leonenko, N.N. and Levendorskii, S. and Mandelbrot, B.B. and Meddahi, N. and Pitt, Michael K. and Priestley, M.B. and Renault, E. and Rosinski, J. and Sato, K. and Taylor, S.J. and Tong, Howell and Yang, H. and Veretennikov, A.Y. and Walker, Stephen G. and Werker, B.J.M. and Woodhead, A. (2001) Non-Gaussian Ornstein-Uhlenbeck-based Models and Some of their Uses in Financial Economics - Discussion. Discussion paper. BLACKWELL PUBLISHING LTD 10.1111/1467-9868.00282. (doi:10.1111/1467-9868.00282) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:7951)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided.
Official URL: http://dx.doi.org/10.1111/1467-9868.00282

Abstract

Non-Gaussian processes of Ornstein–Uhlenbeck (OU) type offer the possibility of capturing important distributional deviations from Gaussianity and for flexible modelling of dependence structures. This paper develops this potential, drawing on and extending powerful results from probability theory for applications in statistical analysis. Their power is illustrated by a sustained application of OU processes within the context of finance and econometrics. We construct continuous time stochastic volatility models for financial assets where the volatility processes are superpositions of positive OU processes, and we study these models in relation to financial data and theory.

Item Type:	Reports and Papers (Discussion paper)
DOI/Identification number:	10.1111/1467-9868.00282
Uncontrolled keywords:	STOCHASTIC VOLATILITY MODELS; LONG-MEMORY; TIME-SERIES; CURRENCY OPTIONS; PORTFOLIO RULES; PRICING-MODELS; TERM STRUCTURE; INTEREST-RATES; CONSUMPTION; DEPENDENCE
Subjects:	Q Science > QA Mathematics (inc Computing science)
Divisions:	Divisions > Division of Computing, Engineering and Mathematical Sciences > School of Mathematics, Statistics and Actuarial Science
Depositing User:	Judith Broom
Date Deposited:	02 Nov 2008 16:58 UTC
Last Modified:	05 Nov 2024 09:40 UTC
Resource URI:	https://kar.kent.ac.uk/id/eprint/7951 (The current URI for this page, for reference purposes)

University of Kent Author Information

Griffin, Jim E..

Creator's ORCID:	https://orcid.org/0000-0002-4828-7368
CReDIT Contributor Roles:

Tong, Howell.

Creator's ORCID:
CReDIT Contributor Roles:

Walker, Stephen G..

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