Continuous time volatility modelling:: COGARCH versus Ornstein-Uhlenbeck models

被引：30
|
作者：
Klüppelberg, C
Lindner, A
Maller, R
机构：
[1] Tech Univ Munich, Ctr Math Sci, D-85747 Garching, Germany
[2] Australian Natl Univ, Sch Finance & App Stat, Ctr math Anal, Canberra, ACT, Australia
来源：
FROM STOCHASTIC CALCULUS TO MATHEMATICAL FINANCE: THE SHIRYAEV FESTSCHRIFT | 2006年
关键词：
COGARCH; continuous time GARCH; CARCH; generalized Ornstein-Uhlenbeck process; Levy process; self-decomposable distribution; stochastic volatility model; tail behaviour;
D O I：
10.1007/978-3-540-30788-4_21
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We compare the probabilistic properties of the non-Gaussian Ornstein-Uhlenbeck based stochastic volatility model of Barndorff-Nielsen and Shephard (2001) with those of the COGARCH process. The latter is a continuous time GARCH process introduced by the authors (2004). Many features are shown to be shared by both processes, but differences are pointed out as well. Furthermore, it is shown that the COGARCH process has Pareto like tails under weak regularity conditions.
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页码：393 / +
页数：4
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