Estimation in Barndorff Nielsen- Shephard Ornstein–Uhlenbeck Stochastic Volatility Models

Jaya P. N. Bishwal
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Jaya P. N. Bishwal: University of North Carolina at Charlotte, Department of Mathematics and Statistics

Chapter Chapter 9 in Parameter Estimation in Stochastic Volatility Models, 2022, pp 359-372 from Springer

Abstract: Abstract Models driven by Levy processes were studied by Barndorff-Nielsen and Shephard (2004a). Barndorff-Nielsen and Schmiegel (2009) studied Brownian semistationary processes with its connection to volatility and intermittency. Barndorff-Nielsen and Shephard (2002) studied normal modified stable processes. Barndorff-Nielsen and Shephard (2001) studied non-Gaussian Ornstein –Uhlenbeck models of volatility.

Date: 2022
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DOI: 10.1007/978-3-031-03861-7_9

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