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Special Semester on Stochastics with Emphasis on Finance
Linz, September 2008 - December 2008
Presentation: On Trades, Volume, and the Martingale Estimating Function Approach for Stochastic Volatility Models with Jumps

Workshop: Concluding Workshop

Time: Thu, December 04, 2008, 09:30-10:15

Speaker: Friedrich Hubalek

Abstract

We introduce a variant of the Barndorff-Nielsen and Shephard stochastic volatility model, where the non-Gaussian Ornstein-Uhlenbeck process describes trading volume or the number of trades instead of unobservable volatility. We develop an explicit estimator using martingale estimating functions and analyze its asymptotic behaviour, when observations are made on a fixed grid with the horizon tending to infinity.
(based on joint work with Petra Posedel)

Presentation slides (pdf, 245 KB)

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