Barndorff-Nielsen, Ole Eiler; Stelzer, Robert - School of Economics and Management, University of Aarhus - 2009
)OU stochastic volatility models can be combined with a factor modelling approach. …)OU stochastic volatility models can be
combined with a factor modelling approach.
AMS Subject Classification 2000: Primary: 62M10 …, 91B28
Secondary: 60G51, 91B84
JEL Classification: C1, C5, G0, G1
Keywords: factor modelling, L´evy bases, linear …