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MaPhySto
Centre for Mathematical Physics and Stochastics
Department of Mathematical Sciences, University of Aarhus

Funded by The Danish National Research Foundation




MPS-RR 2000-16
May 2000




Modelling by Lévy Processes for Financial Econometrics

by:

Ole E. Barndorff-Nielsen

Neil Shephard

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 positive Ornstein-Uhlenbeck (OU) type processes in side stochastic volatility processes. The basic probability theory associated with such models is discussed in some detail.

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This paper has now been published in In O.E. Barndorff-Nielsen, T. Mikosch and S. Resnick (Eds.): Lévy Processes - Theory and Applications. Boston: Birkhauser. Pp. 283-318..