Modelling by Lévy Processess for Financial Econometrics

By Ole E. Barndorff-Nielsen, N. Shephard. 2001

135 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/7699c821082895e3f2458b8cb3ade77985b7067b

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. V. Todorov
2. Ole E. Barndorff-Nielsen
3. N. Shephard
4. Christian Pigorsch
5. Fulvio Corsi
6. Tim Bollerslev
7. Ross Maller
8. Peter J. Brockwell

In Finance

1. V. Todorov
2. Ole E. Barndorff-Nielsen
3. N. Shephard
4. Claudia Klüppelberg
5. A. Lindner
6. Christian Pigorsch
7. Fulvio Corsi
8. Tim Bollerslev

Citations in the corpus

• Risk bounds for the non-parametric estimation of Lévy processes (2006, background): “…Lévy models (e.g. [2, 10, 12] and [16]), where the underlying source of randomness in the Black-Scholes model is replaced by a Lévy process, to exponential time-changed Lévy processes (e.g. [11]-[13]) and to stochastic differential equations driven by multivariate Lévy processes (e.g. [3, 29]).”
• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type (2003, methodology): “A self-contained exposition of the required results is given in Barndorff-Nielsen and Shephard (2001a), and recent developments are surveyed in Rosiński (2001).”
• Analysis of variance based instruments for Ornstein–Uhlenbeck type models: swap and price index (2017, unknown): “This model is introduced in various works (see Barndorff-Nielsen 2001; Barndorff-Nielsen and Shephard 2001a, b) of Barndorff-Nielsen and Shephard and is known inmodern literature as the BN-Smodel.”
• Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models (2006, methodology): “We compare the probabilistic properties of the non-Gaussian OrnsteinUhlenbeck based stochastic volatility model of Barndorff-Nielsen and Shephard (2001) with those of the COGARCH process.”
• The Volatility of Realized Volatility (2005, background): “…variance [p]t = ∫ t 0 (s)2ds (3) As already shown by Merton (1980) and extended by Comte and Renault (1998), Andersen and Bollerslev (1998), Andersen et al. (2001b), and by Barndorff-Nielsen and Shephard (2001), the quadratic variation and hence the integrated variance can be consistently…”
• Some recent developments in stochastic volatility modelling (2002, methodology): “This is also shown in Barndorff-Nielsen and Shephard (2001c).”