کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10527632 | 958933 | 2005 | 20 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
With the help of a general methodology of asymptotic expansions for mixing processes, we obtain the Edgeworth expansion for log-returns of a stock price process in Barndorff-Nielsen and Shephard's stochastic volatility model, in which the latent volatility process is described by a stationary non-Gaussian Ornstein-Uhlenbeck process (OU process) with invariant selfdecomposable distribution on R+. The present result enables us to simultaneously explain non-Gaussianity for short time-lags as well as approximate Gaussianity for long time-lags. The Malliavin calculus formulated by Bichteler, Gravereaux and Jacod for processes with jumps and the exponential mixing property of the OU process play substantial roles in order to ensure a conditional type Cramér condition under a certain truncation. Owing to several inherent properties of OU processes, the regularity conditions for the expansions can be verified without any difficulty, and the coefficients of the expansions up to any order can be explicitly computed.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 115, Issue 7, July 2005, Pages 1167-1186
Journal: Stochastic Processes and their Applications - Volume 115, Issue 7, July 2005, Pages 1167-1186
نویسندگان
H. Masuda, N. Yoshida,