Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Uniform Ergodicity and Exponential α-Mixing for Continuous Time Stochastic Volatility Model

  • Lee, O. (Department of Statistics, Ewha Womans University)
  • Received : 20101100
  • Accepted : 20110300
  • Published : 2011.03.31
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Abstract

A continuous time stochastic volatility model for financial assets suggested by Barndorff-Nielsen and Shephard (2001) is considered, where the volatility process is modelled as an Ornstein-Uhlenbeck type process driven by a general L$\'{e}$vy process and the price process is then obtained by using an independent Brownian motion as the driving noise. The uniform ergodicity of the volatility process and exponential ${\alpha}$-mixing properties of the log price processes of given continuous time stochastic volatility models are obtained.

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References

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