Journal article
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
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Funding
+ Economic and Social Research Council
More from this funder
Funding agency for:
Shephard, N
Grant:
R00023839
+ Danish National Research Foundation
More from this funder
Funding agency for:
Barndorff-Nielsen, O
+ Danish Social Science Research Council
More from this funder
Funding agency for:
Barndorff-Nielsen, O
Bibliographic Details
- 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:
- 2001-01-01
- DOI:
- EISSN:
-
1467-9868
- ISSN:
-
1369-7412
Item Description
- Language:
- English
- Subjects:
- UUID:
-
uuid:4dea343e-520c-4e7e-9bce-e2d4b1edcaff
- Local pid:
- ora:2250
- Deposit date:
- 2008-08-12
Related Items
Terms of use
- Copyright holder:
- Royal Statistical Society and Blackwell Publishing Ltd
- Copyright date:
- 2001
- Notes:
- The full-text of this article is not currently available in ORA. Citation: Barndorff-Nielsen, O. E. & Shephard, N. (2001). 'Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics', Journal of the Royal Statistical Society: Series B (Statistical Methodology), 63(2), 167-241. [Available at http://www3.interscience.wiley.com/journal/118490742/home].
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