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Abstract: Introduction It is common wisdom among nancial researchers and the banking industry that volatility is stochastic, has jumps, and often exhibits long range dependence. Since such nancial data as log-prices and exchange rates often come as high-frequency intra-day data, continuous time models are useful. There have been two main approaches. The rst, mathematical one is based on semimartingale (no arbitrage) theory, takes its starting point as the Black-Scholes model, and introduces a... (Update)
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BibTeX entry: (Update)
@misc{ ppelberg-continuous,
author = "Claudia Klüppelberg and Alexander Lindner and Ross Maller",
title = "Continuous Time Volatility Modelling: COGARCH versus Ornstein-Uhlenbeck
Models",
url = "citeseer.ist.psu.edu/755932.html" }
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