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Title:

Functional relationships between price and volatility jumps and its consequences for discretely observed data

Document type:
Zeitschriftenaufsatz
Author(s):
Jacod, J., Klüppelberg, C. and Müller, G.
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...     »
Keywords:
Barndorff-Nielsen Shephard model; CARMA; continuous-time GARCH; COGARCH; common jumps; high-frequency data; Itô semimartingale; Lévy process; Ornstein--Uhlenbeck process; stochastic volatility
Journal title:
Journal of Applied Probability
Year:
2012
Journal volume:
49
Month:
Dec
Journal issue:
4
Pages contribution:
901-914
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi:10.1239/jap/1354716647
Status:
Verlagsversion / published
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
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