Stochastic Volatility of Volatility and Variance Risk Premia

By Ole E. Barndorff-Nielsen, Almut E. D. Veraart. 2013

58 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/6cff714606923b0a82063212d432f7baa1009e75

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Fred Espen Benth
2. Almut E. D. Veraart
3. Ole E. Barndorff-Nielsen

In Finance

1. Almut E. D. Veraart
2. Fred Espen Benth
3. Ole E. Barndorff-Nielsen
4. V. Todorov
5. N. Shephard
6. Tim Bollerslev
7. Peter J. Brockwell
8. Jeannette H. C. Woerner

Citations in the corpus

• Modelling energy spot prices by volatility modulated Levy-driven Volterra processes (2013, methodology): “Financial support by the Center for Research in Econometric Analysis of Time Series, CREATES, funded by the Danish National Research Foundation is gratefully acknowledged by A.E.D. Veraart.”