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Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics

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...

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Publication status:
Published
Peer review status:
Peer reviewed

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Publisher copy:
10.1111/1467-9868.00282

Authors


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Institution:
University of Aarhus
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Institution:
University of Oxford
Research group:
Econometrics
Oxford college:
Nuffield College
Department:
Social Sciences Division - Economics
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Funding agency for:
Ole E. Barndorff-Nielsen
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Funding agency for:
Ole E. Barndorff-Nielsen
Publisher:
Blackwell Publishing Publisher's website
Journal:
Journal of the Royal Statistical Society: Series B (Statistical Methodology) Journal website
Volume:
63
Issue:
2
Pages:
167-241
Publication date:
2001
DOI:
EISSN:
1467-9868
ISSN:
1369-7412
URN:
uuid:4dea343e-520c-4e7e-9bce-e2d4b1edcaff
Local pid:
ora:2250
Language:
English
Subjects:

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