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
Version of Record 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 online: 5 MAR 2013
- Version of Record online: 6 JUL 2011
- Manuscript received September 2009; final revision received February 2011.
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