Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models

Citation

Kluppelberg, C, Lindner, A & Maller, R 2006, 'Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models', in Yuri Kabanov, Robert Lipster (ed.), From stochastic calculus to mathematical finance, Springer, Germany, pp. 393-419.

Year

2006

ANU Authors

Field of Research

  • Stochastic Analysis And Modelling

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