[KSCI] Korea Science Citation Index Service

http://dx.doi.org/10.5351/CKSS.2011.18.2.229

Uniform Ergodicity and Exponential α-Mixing for Continuous Time Stochastic Volatility Model

Lee, O. (Department of Statistics, Ewha Womans University)

Publication Information

Communications for Statistical Applications and Methods / v.18, no.2, 2011 , pp. 229-236 More about this Journal

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 $$\$ 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.

Keywords

Continuous time stochastic volatility model; Ornstein-Uhlenbeck type process; stationarity; uniform ergodicity; ${\alpha}$ -mixing;

Citations & Related Records

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