Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models

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dc.creatorHubalek, Friedrich
dc.creatorPosedel, Petra
dc.date2008-07-22
dc.date2008-10-13
dc.date.accessioned2026-07-07T12:05:55Z
dc.date.available2026-07-07T12:05:55Z
dc.descriptionWe introduce a variant of the Barndorff-Nielsen and Shephard stochastic volatility model where the non Gaussian Ornstein-Uhlenbeck process describes some measure of trading intensity like trading volume or number of trades instead of unobservable instantaneous variance. We develop an explicit estimator based on martingale estimating functions in a bivariate model that is not a diffusion, but admits jumps. It is assumed that both the quantities are observed on a discrete grid of fixed width, and the observation horizon tends to infinity. We show that the estimator is consistent and asymptotically normal and give explicit expressions of the asymptotic covariance matrix. Our method is illustrated by a finite sample experiment and a statistical analysis on the International Business Machines Corporation (IBM) stock from the New York Stock Exchange (NYSE) and the Microsoft Corporation (MSFT) stock from Nasdaq during a history of five years.
dc.description26 pages, 16 figures
dc.identifierhttps://arxiv.org/abs/0807.3464
dc.identifierhttp://arxiv.org/abs/0807.3464
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208509
dc.subjectStatistical Finance
dc.subjectProbability
dc.subjectStatistics Theory
dc.subject62H12; 60G42; 60J75
dc.titleJoint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models
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