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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Jacod, J., Klüppelberg, C. and Müller, G. 
Titel:
Functional relationships between price and volatility jumps and its consequences for discretely observed data 
Abstract:
Many prominent continuous-time stochastic volatility models exhibit certain functional relationships between price jumps and volatility jumps. We show that stochastic volatility models like the Ornstein-Uhlenbeck and other continuous-time CARMA models as well as continuous-time GARCH and EGARCH models all exhibit such functional relations. We investigate the asymptotic behaviour of certain functionals of price and volatility processes for discrete observations of the price process on a grid, whi...    »
 
Stichworte:
Barndorff-Nielsen Shephard model; CARMA; continuous-time GARCH; COGARCH; common jumps; high-frequency data; Itô semimartingale; Lévy process; Ornstein--Uhlenbeck process; stochastic volatility 
Zeitschriftentitel:
Journal of Applied Probability 
Jahr:
2012 
Band / Volume:
49 
Monat:
Dec 
Heft / Issue:
Seitenangaben Beitrag:
901-914 
Reviewed:
ja 
Sprache:
en 
Status:
Verlagsversion / published 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text