The stochastic volatility model of Barndorff-Nielsen and shephard in commodity markets (Q3100748)
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scientific article; zbMATH DE number 5975635
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| English | The stochastic volatility model of Barndorff-Nielsen and shephard in commodity markets |
scientific article; zbMATH DE number 5975635 |
Statements
THE STOCHASTIC VOLATILITY MODEL OF BARNDORFF-NIELSEN AND SHEPHARD IN COMMODITY MARKETS (English)
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21 November 2011
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commodity markets
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Ornstein
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Uhlenbeck process
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stochastic volatility
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Heston model
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subordinators
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0.832947850227356
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0.7944745421409607
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0.7924937009811401
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0.7876151204109192
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