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Modelling by Lévy Processess for Financial Econometrics

In: Lévy Processes

Author

Listed:
  • Ole E. Barndorff-Nielsen

    (University of Aarhus, Centre for Mathematical Physics and Stochastics (MaPhySto))

  • Neil Shephard

    (University of Oxford, Nuffield College)

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.

Suggested Citation

  • Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Modelling by Lévy Processess for Financial Econometrics," Springer Books, in: Ole E. Barndorff-Nielsen & Sidney I. Resnick & Thomas Mikosch (ed.), Lévy Processes, pages 283-318, Springer.
    • Handle: RePEc:spr:sprchp:978-1-4612-0197-7_13
    DOI: 10.1007/978-1-4612-0197-7_13
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