Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
By Ole E. Barndorff-Nielsen, N. Shephard. 2003
149 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/7253f16f83bc754c4ae420351fb1e4b5cf111a9a
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
- Peter J. Brockwell
- V. Todorov
- Ole E. Barndorff-Nielsen
- Ross Maller
- N. Shephard
- A. Lindner
- Claudia Klüppelberg
- George Tauchen
In Finance
- Peter J. Brockwell
- V. Todorov
- Ole E. Barndorff-Nielsen
- N. Shephard
- A. Lindner
- Claudia Klüppelberg
- Ross Maller
- Robert Stelzer
Citations in the corpus
- Ornstein–Uhlenbeck Processes and Extensions (2009, background): “…motivation for studying (12) is that special cases of it occupy central positions in certain models of financial time series; the Lévy driven OU processes of Barndorff-Nielsen and Shephard (2001a, 2001b, 2003) and the COGARCH process of Klüppelberg, Lindner and Maller (2004) are recent examples.”
- Stochastic Volatility of Volatility and Variance Risk Premia (2013, unknown): “This is done by extensions of the idea of supOU processes, as introduced by Barndorff-Nielsen (2001) and further discussed in Barndorff-Nielsen & Shephard (2003), Barndorff-Nielsen & Leonenko (2005), Fasen & Klüppelberg (2007), Barndorff-Nielsen & Stelzer (2011),Barndorff-Nielsen & Stelzer (2012).”
- Recent results in the theory and applications of CARMA processes (2014, methodology): “(87) This process has been studied in detail by Barndorff-Nielsen and Shephard (2003).”
- Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models (2006, background): “In order to get insight into the tail behaviour of ∫ t 0 σ̃(2) sds, Barndorff-Nielsen and Shephard [5], equation (31), give a formula for the Lévy density v of ∫ t 0 σ̃(2) sds in terms of the Lévy”
- Some recent developments in stochastic volatility modelling (2002, methodology): “This is also shown in Barndorff-Nielsen and Shephard (2001c).”
- Hyperbolic Processes in Finance (2003, background): “Barndor-Nielsen & Shephard (2001a) have studied the distributional properties of integrated Ornstein-Uhlenbeck type processes in detail.”