THE MULTIVARIATE supOU STOCHASTIC VOLATILITY MODEL
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Publication:4917299
DOI10.1111/j.1467-9965.2011.00494.xzbMath1262.91139OpenAlexW3125092719MaRDI QIDQ4917299
Robert Stelzer, Ole Eiler Barndorff-Nielsen
Publication date: 29 April 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://pure.au.dk/ws/files/17593634/rp09_42.pdf
stochastic volatilitylong memorylinear transformationsOrnstein-Uhlenbeck type processsecond-order moment structureLévy basesfactor modeling
Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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Cites Work
- On the definition, stationary distribution and second order structure of positive semidefinite Ornstein-Uhlenbeck type processes
- Multivariate supOU processes
- Spectral representations of infinitely divisible processes
- From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
- Superposition of Ornstein--Uhlenbeck Type Processes
- Matrix Subordinators and Related Upsilon Transformations
- Financial Modelling with Jump Processes
- Stochastic differential equations. An introduction with applications.
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