Barndorff-Nielsen, Ole E.; Veraart, Almut E. D. - In: Journal of Financial Econometrics 11 (2012) 1, pp. 1-46
This article introduces a new class of stochastic volatility models which allows for stochastic volatility of volatility (SVV): Volatility modulated non-Gaussian Ornstein--Uhlenbeck (VMOU) processes. Various probabilistic properties of (integrated) VMOU processes are presented. Further we study...