Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: A Class of Generalized Hyperbolic Continuous Time Integrated Stochastic
  Volatility Likelihood Models   This paper discusses and analyzes a class of likelihood models which are
based on two distributional innovations in financial models for stock returns.
That is, the notion that the marginal distribution of aggregate returns of
log-stock prices are well approximated by generalized hyperbolic distributions,
and that volatility clustering can be handled by specifying the integrated
volatility as a random process such as that proposed in a recent series of
papers by Barndorff-Nielsen and Shephard (BNS). The BNS models produce
likelihoods for aggregate returns which can be viewed as a subclass of latent
regression models where one has n conditionally independent Normal random
variables whose mean and variance are representable as linear functionals of a
common unobserved Poisson random measure. James (2005b) recently obtains an
exact analysis for such models yielding expressions of the likelihood in terms
of quite tractable Fourier-Cosine integrals. Here, our idea is to analyze a
class of likelihoods, which can be used for similar purposes, but where the
latent regression models are based on n conditionally independent models with
distributions belonging to a subclass of the generalized hyperbolic
distributions and whose corresponding parameters are representable as linear
functionals of a common unobserved Poisson random measure. Our models are
perhaps most closely related to the Normal inverse Gaussian/GARCH/A-PARCH
models of Brandorff-Nielsen (1997) and Jensen and Lunde (2001), where in our
case the GARCH component is replaced by quantities such as INT-OU processes. It
is seen that, importantly, such likelihood models exhibit quite different
features structurally. One nice feature of the model is that it allows for more
flexibility in terms of modelling of external regression parameters.

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The categories of this paper are: chao-dyn
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The categories of this paper are: plasm-ph
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The categories of this paper are: physics
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The categories of this paper are: solv-int
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The categories of this paper are: alg-geom
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The categories of this paper are: hep-th
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The categories of this paper are: gr-qc
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The categories of this paper are: ao-sci
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The categories of this paper are: econ
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The categories of this paper are: acc-phys
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The categories of this paper are: cond-mat
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The categories of this paper are: q-bio
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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: math-ph
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The categories of this paper are: q-fin