Hubalek, Friedrich; Posedel, Petra - In: Quantitative Finance 11 (2011) 6, pp. 917-932
We introduce a variant of the Barndorff-Nielsen and Shephard stochastic volatility model where the non-Gaussian Ornstein-Uhlenbeck process describes some measure of trading intensity like trading volume or number of trades instead of unobservable instantaneous variance. We develop an explicit...