Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Economics, Econometrics and Finance,Finance
Link
https://link.springer.com/content/pdf/10.1007/s10436-021-00394-4.pdf
Reference35 articles.
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4. Baillie, R.T., Calonaci, F., Cho, D., Rho, S.: Long memory, realized volatility and heterogeneous autoregressive models. J. Time Ser. Anal. 40(4), 609–628 (2019)
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