Anmerkungen:
In: Applied Stochastic Models in Business and Industry, Vol. 24, pp. 277-289, 2008
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 8, 2009 erstellt
Beschreibung:
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 Stockholmsbörsen during an exceptionally turbulent period of five years. The results indicate a good model fit