Discussion of "Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics" by Barndorff-Nielsen and Shephard

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Diffusion-type models with given marginal distribution and autocorrelation function (2005, methodology): “This process has been used to model the variation of exchange rates in a target-zone by De Jong, Drost & Werker (2001) (for α = β) and Larsen & Sørensen (2003).”