Template-type: ReDIF-Paper 1.0
Author-Name:Ole E. Barndorff-Nielsen
Author-Email: oebn@imf.au.dk
Author-Workplace-Name: Center for Mathematical Physics and Stochastics (MaPhySto)
Author-Name: Neil Shephard
Author-Email: neil.shephard@nuf.ox.ac.uk
Author-Homepage: http://www.nuff.ox.ac.uk/users/shephard/neilframe.htm
Author-Workplace-Name: Nuffield College, Oxford
Author-Workplace-Homepage: http://www.nuff.ox.ac.uk/economics/
Title: Integrated OU Processes
Abstract: 
 In this paper we study the detailed distributional properties of integrated non-Gaussian
 OU (intOU) processes. Both exact results and approximate results are given. We emphasise the
 study of the tail behaviour of the intOU process. Our results have many potential applications
 in financial economics, for OU processes are used as models of instantaneous volatility in 
 stochastic volatility (SV) models. In this case an intOU process can be regarded as a model
 of integrated volatility. Hence the tail behaviour  of the intOU process will determine
 the tail behaviour of returns generated by SV models.
Keywords: Background driving Levy process; Chronometer; Co-break; Econometrics;
 Integrated volatility; Kumulant function; Levy density; Option pricing; OU processes;
 Stochastic volatility
Length: 23 pages
Creation-Date: 2001-05-31
Number: 2001-W1
File-URL: http://www.nuff.ox.ac.uk/Economics/papers/2001/w1/intou1.pdf
File-Format: application/pdf
Handle: RePEc:nuf:econwp:0101