Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Joint analysis and estimation of stock prices and trading volume in
  Barndorff-Nielsen and Shephard stochastic volatility models   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 intensity like trading volume or number of trades
instead of unobservable instantaneous variance. We develop an explicit
estimator based on martingale estimating functions in a bivariate model that is
not a diffusion, but admits jumps. It is assumed that both the quantities are
observed on a discrete grid of fixed width, and the observation horizon tends
to infinity. We show that the estimator is consistent and asymptotically normal
and give explicit expressions of the asymptotic covariance matrix. Our method
is illustrated by a finite sample experiment and a statistical analysis on the
International Business Machines Corporation (IBM) stock from the New York Stock
Exchange (NYSE) and the Microsoft Corporation (MSFT) stock from Nasdaq during a
history of five years.

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The categories of this paper are: nlin
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The categories of this paper are: funct-an
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The categories of this paper are: cmp-lg
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The categories of this paper are: astro-ph
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The categories of this paper are: hep-ex
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The categories of this paper are: hep-ph
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The categories of this paper are: nucl-ex
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The categories of this paper are: eess
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The categories of this paper are: solv-int
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The categories of this paper are: cond-mat
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The categories of this paper are: econ
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The categories of this paper are: nucl-th
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The categories of this paper are: physics
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The categories of this paper are: gr-qc
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The categories of this paper are: math-ph
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The categories of this paper are: mtrl-th