Continuous Time Volatility Modelling: COGARCH versus Ornstein–Uhlenbeck Models
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Publisher
Springer Berlin Heidelberg
Link
http://link.springer.com/content/pdf/10.1007/978-3-540-30788-4_21.pdf
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3. Barndorff-Nielsen, O.E., Shephard, N.: Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics (with discussion). J. R. Statist. Soc. Ser. B 63, 167-241 (2001)
4. Barndorff-Nielsen, O.E., Shephard, N.: Econometric analysis of realised volatil-ity and its use in estimating stochastic volatility models. J. R. Statis. Soc. Ser. B 64, 253-280 (2002)
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