Aggregation and Model Construction for Volatility Models.

Working paper

In this paper we will rigourously study some of the properties of continuous time stochastic volatility models. We have five main results, including: the stochastic volatility class can be linked to Cox process based models of tick-by-tick financial data; we characterise the moments, autocorrelation function and spectrum of squared returns; based only on discrete time returns, we give a simple consistent and asymptotically normally distributed estimator of continuous time volatility models without any simulation or discretisation error.

Authors: Barndorff-Nielsen, O; Shephard, N

• Publisher: Nuffield College (University of Oxford)
• Series: Economics Working Papers
• Publication date: 1998-01-01
• Language: English