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

- Journal title : Communications for Statistical Applications and Methods
- Volume 18, Issue 2, 2011, pp.229-236
- Publisher : The Korean Statistical Society
- DOI : 10.5351/CKSS.2011.18.2.229

Title & Authors

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

Lee, O.;

Lee, O.;

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 Lvy 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 -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;-mixing;

Language

English

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