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20082025
most citedJoint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models

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q-fin.ST2008★ 1 cited

Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models

Friedrich Hubalek, Petra Posedel

We introduce a variant of the Barndorff-Nielsen and Shephard stochastic volatility model where the non Gaussian Ornstein-Uhlenbeck process describes some measure of trading intensi…