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Modelling by Lévy Processess for Financial Econometrics

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Lévy Processes

Abstract

This paper reviews some recent work in which Lévy processes are used to model and analyse time series from financial econometrics. A main feature of the paper is the use of posi- tive Ornstein-Uhlenbeck-type (OU-type) processes inside stochastic volatility processes. The basic probability theory associated with such models is discussed in some detail.

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Author information

Authors and Affiliations

  1. Centre for Mathematical Physics and Stochastics (MaPhySto), University of Aarhus, Ny Munkegade, DK-8000, Aarhus C, Denmark

    Ole E. Barndorff-Nielsen

  2. Nuffield College, University of Oxford, Oxford, OX1 1N, UK

    Neil Shephard

Authors
  1. Ole E. Barndorff-Nielsen
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  2. Neil Shephard
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Editor information

Editors and Affiliations

  1. Department of Mathematical Sciences, University of Aarhus, Dk-8000, Aarhus, Denmark

    Ole E. Barndorff-Nielsen

  2. School of ORIE, Cornell University, Ithaca, NY, 14853, USA

    Sidney I. Resnick

  3. Laboratory of Actuarial Mathematics, University of Copenhagen, Universitetsparken 5, DK-2100, Copenhagen, Denmark

    Thomas Mikosch

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Barndorff-Nielsen, O.E., Shephard, N. (2001). Modelling by Lévy Processess for Financial Econometrics. In: Barndorff-Nielsen, O.E., Resnick, S.I., Mikosch, T. (eds) Lévy Processes. Birkhäuser, Boston, MA. https://doi.org/10.1007/978-1-4612-0197-7_13

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  • DOI: https://doi.org/10.1007/978-1-4612-0197-7_13

  • Publisher Name: Birkhäuser, Boston, MA

  • Print ISBN: 978-1-4612-6657-0

  • Online ISBN: 978-1-4612-0197-7

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