This work was initiated during a visit of the authors to the Oxford-Man Institute at the University of Oxford in December 2007. The authors are very grateful for the hospitality and support. They thank Kevin Sheppard for a discussion leading them to consider (sup)OU models in the context of factor modeling. Furthermore, Ole Barndorff-Nielsen appreciates support from CREATES funded by the Danish National Research Foundation and Robert Stelzer gratefully acknowledges the support of the Technische Universität München-Institute for Advanced Study, funded by the German Excellence Initiative.
THE MULTIVARIATE supOU STOCHASTIC VOLATILITY MODEL
Article first published online: 6 JUL 2011
© 2011 Wiley Periodicals, Inc.
Volume 23, Issue 2, pages 275–296, April 2013
How to Cite
Barndorff-Nielsen, O. E. and Stelzer, R. (2013), THE MULTIVARIATE supOU STOCHASTIC VOLATILITY MODEL. Mathematical Finance, 23: 275–296. doi: 10.1111/j.1467-9965.2011.00494.x
- Issue published online: 5 MAR 2013
- Article first published online: 6 JUL 2011
- Manuscript received September 2009; final revision received February 2011.
Options for accessing this content:
- Login via other institutional login options http://onlinelibrary.wiley.com/login-options.
- You can purchase online access to this Article for a 24-hour period (price varies by title)
- New Users: Please register, then proceed to purchase the article.
Login via OpenAthens
Search for your institution's name below to login via Shibboleth.
Registered Users please login:
- Access your saved publications, articles and searches
- Manage your email alerts, orders and subscriptions
- Change your contact information, including your password
Please register to:
- Save publications, articles and searches
- Get email alerts
- Get all the benefits mentioned below!