The estimation of the Barndorff-Nielsen and Shephard model from daily data based on measures of trading intensity

Carl Lindberg

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The estimation of the Barndorff-Nielsen and Shephard model from daily data based on measures of trading intensity

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We give a method to fit the Barndorff-Nielsen and Shephard model J. R. Stat. Soc. Ser. B 2001; 63:167-241 to daily data. Many researchers have established a connection between volatility and different measures of trading intensity, such as traded volume or number of trades. We benefit from this connection, and propose to use some measure of trading intensity as the volatility in the model in J. R. Stat. Soc. Ser. B 2001; 63:167-241. Our approach gives stable parameter estimates, and it is much easier to implement than the quadratic variation method. The efficiency of our method is illustrated by a statistical analysis on the Ericsson stock from the OMX Stockholmsborsen during an exceptionally turbulent period of five years. The results indicate a good model fit.

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《Applied stochastic models in business and industry》 |2008年第4期|277-289|共13页
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Carl Lindberg;
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正文语种英语
中图分类应用数学;
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Barndorff-Nielsen and Shephard model; Generalized hyperbolic distribution; Normal inverse Gaussian distribution; Number of trades; Stochastic volatility; Trading intensity;

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The estimation of the Barndorff-Nielsen and Shephard model from daily data based on measures of trading intensity

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