Superposition of Ornstein--Uhlenbeck Type Processes

By Ole E. Barndorff-Nielsen. 2001

240 citations recorded by the source corpus.

Subfields: Condensed Matter Physics, Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/2a74271893774910642be3234d49c3a9c1a1bb34

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Citations in the corpus

Continuous-time GARCH processes (2006, background): “The Annals of Applied Probability 2006, Vol. 16, No. 2, 790–826 DOI: 10.1214/105051606000000150 © Institute of Mathematical Statistics, 2006”
Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type (2003, unknown): “Moreover, the cumulant function of D, denoted by κ D(θ ) = logE[eθD], and the cumulant function κ(θ ) of Z1 are related through the formula κ(θ ) = θ dκ D dθ (θ )(2.7) (see Barndorff-Nielsen 2001).”
Power Variation and Time Change (2006, unknown): “This is discussed in Barndorff-Nielsen and Shephard (2002), Barndorff-Nielsen and Shephard (2003) and Barndorff-Nielsen and Shephard (2004). See also Shiryaev (1999, p. 349-350) who mentions interest in the limits of sums of absolute returns. As a key illustration, suppose that X is a Brownian semim”
Econometric analysis of realized volatility and its use in estimating stochastic volatility models (2002, methodology): “We follow Barndorff-Nielsen and Shephard (2001) in parameterising the effect as dy∗(t) = { μ+ βσ(t) } dt+ σ(t)dw(t) + ρdz(λt),”
Multivariate supOU processes (2010, methodology): “The resulting processes are called supOU processes and have been introduced in [2] where it has also been established that they may exhibit long-range dependence.”
Lévy–Driven Continuous–Time ARMA Processes (2009, methodology): “(See for example the papers of Doob (1944), Bartlett (1946), Phillips (1959), Durbin (1961), Dzhapararidze (1970,1971), Pham-Din-Tuan (1977) and the monograph of Arató (1982).”
On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process (2004, background): “See also Barndorff-Nielsen (2001) for a more general construction of long-memory autocorrelation structure based on an independently scattered random measure, which is a generalization of the Poisson random measure.”
THE MULTIVARIATE supOU STOCHASTIC VOLATILITY MODEL (2013, methodology): “In the univariate case one uses superpositions of Ornstein-Uhlenbeck type (supOU) processes (see Barndorff-Nielsen (2001) ) to allow for possible long range dependence effects.”
Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models (2006, background): “In particular, if either L1 or σ̃(2) ∞ is tempered stable or gamma distributed, it is shown that v(x) behaves asymptotically like d1x −d2 exp{−d3x} as x→∞, where d1, d3 > 0, d2 ∈ [1, 3), see [5], Table 3.”
Extremes of supOU Processes (2007, methodology): “This model has been analyzed by Barndorff-Nielsen and Shephard [3].”
Stochastic Volatility: Origins and Overview (2008, background): “the infinite superposition of non-negative OU processes introduced by Barndorff-Nielsen (2001) .”