Extremes of supOU Processes
By Vicky Fasen, Claudia Klüppelberg. 2007
48 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/2cab841e71455d9eb8c5633116f611d25b7feac5
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Robert Stelzer
- Ole E. Barndorff-Nielsen
- N. Shephard
- V. Todorov
- Tim Bollerslev
- Jeannette H. C. Woerner
- Torben G. Andersen
- Asger Lunde
In Finance
- Robert Stelzer
- Ole E. Barndorff-Nielsen
- V. Todorov
- N. Shephard
- Tim Bollerslev
- Peter J. Brockwell
- Almut E. D. Veraart
- Christian Pigorsch
Citations in the corpus
- Multivariate supOU processes (2010, methodology): “This extends to a multivariate setting the theory of univariate supOU processes as introduced in [2] and studied further, for example, in [19].”
- THE MULTIVARIATE supOU STOCHASTIC VOLATILITY MODEL (2013, unknown): “…one to choose ν ii such that the stationary distribution of the variance ii is a certain prescribed selfdecomposable distribution concentrated on R+ (using Barndorff-Nielsen 2001, theorem 3.1, corollary 3.1; Fasen and Klüppelberg 2007, remark 2.2; or Pigorsch and Stelzer 2009b, theorem 4.9).”