With apologies for cross-posting.
Royal Statistical Society Ordinary Meeting
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October 18, 2000, 5pm (Tea from 4.30pm)
at the Royal Statistical Society lecture room
12 Errol Street, London EC1Y 8LX.
Non-Gaussian OU based models and some of their uses in financial economics
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Ole Barndorff-Nielsen (University of Aarhus) and
Neil Shephard (Nuffield College, Oxford)
Summary
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Non-Gaussian processes of Ornstein-Uhlenbeck (OU) type, and combinations
of such and with Brownian motion, offer the possibility of capturing
distributional deviations from Gaussianity and for flexible modelling of
dependence structures. Their power is illustrated by a sustained application
within the context of finance and econometrics. We construct continuous time
stochastic volatility models and we study these models in relation to
financial data and theory.
A PostScript copy of the paper can be downloaded from
http://www.maths.soton.ac.uk/staff/JJForster/RS
Contact Val Evans (email [log in to unmask]) at the RSS for further
details and for a hard copy of the galleys (stating your full address).
Discussion at RSS ordinary meetings
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Anyone is free to contribute to the discussion at an RSS ordinary meeting.
Contributions must not exceed 5 minutes speaking time, or 400 words when
printed. If you cannot go to the meeting you can send a written contribution
to reach the RSS, 12 Errol Street, London EC1Y 8LX, not more than a week
after the meeting. If time allows, contributions received by the day of the
meeting may be read out. In any case, they will be printed in the Journal
in due course.
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