Normal Modified Stable Processes

By N. Shephard, Ole E. Barndorff-Nielsen. 2001

178 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/5254633ea817ef1fe8b15297d14bbe5b29e5329e

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Citations in the corpus

Some recent developments in stochastic volatility modelling (2002, background): “and normal modified stable laws are introduced and studied in Barndorff-Nielsen and Shephard (2001d) .”
Multivariate GARCH Models: A Survey (2003, methodology): “Densities used in this context are mixtures of multivariate normal densities (see Vlaar and Palm, 1993), the Generalized Hyperbolic distribution (see Barndorff-Nielsen and Shephard (2001) for the density and Menćıa and Sentana (2003) for a recent application its standardized version in a MGARCH…”
Barrier options and touch- and-out options under regular Lévy processes of exponential type (2002, methodology): “The class of NTS Lévy processes was introduced in Barndorff-Nielsen and Levendorskiı̌ (2001) and studied in Barndorff-Nielsen and Shephard (2001); it contains NIG as a subclass.”
Tempering stable processes (2007, methodology): “They were also introduced in mathematical finance to model stochastic volatility (the CGMY model in [8, 9]), (the Ornstein-Uhlenbeck–based model in [3, 4]); option pricing based on such processes was considered in [6], just to mention a few.”
Integer-valued Lévy processes and low latency financial econometrics (2012, methodology): “The normal variance–mean mixtures with tempered stable mixing were introduced by Barndorff-Nielsen and Shephard ( 2001b ), while Carr et al.”
The Generalized Hyperbolic Skew Student’s t-Distribution (2006, background): “It is briefly mentioned by Prause (1999), Barndorff-Nielsen and Shepard (2001), Jones and Faddy (2003), Mencia and Sentana (2004) and Demarta and McNeil (2004).”