THE STOCHASTIC VOLATILITY MODEL OF BARNDORFF‐NIELSEN AND SHEPHARD IN COMMODITY MARKETS

74 citations recorded by the source corpus.

How researchers see this paper

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

Stochastic Volatility of Volatility and Variance Risk Premia (2013, unknown): “…(2002) showed the good empirical performance of superpositions ofOU models for modelling stochastic volatility in exchange rate data; Nicolato & Venardos (2003) focused on derivative pricing based on OU volatility models, and recently Benth (2011) showed their applicability in commodity markets.”
Modelling energy spot prices by volatility modulated Levy-driven Volterra processes (2013, background): “Volatility clusters are often found in energy prices, see, for example, Hikspoors and Jaimungal [50], Trolle and Schwartz [64], Benth [22], Benth and Vos [26], Koopman, Ooms and Carnero [55], Veraart and Veraart [65].”