97 citations · 408 across the 20 of their papers we have counts for
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math.PR2010★ 85 cited
Multivariate supOU processes
Ole Eiler Barndorff-Nielsen, Robert Stelzer
Univariate superpositions of Ornstein--Uhlenbeck-type processes (OU), called supOU processes, provide a class of continuous time processes capable of exhibiting long memory behavio…
math.ST2010★ 34 cited
Multivariate COGARCH(1,1) processes
Robert Stelzer
Multivariate processes are introduced as a continuous-time models for multidimensional heteroskedastic observations. Our model is driven by a single…
q-fin.PR2010★ 69 cited
Option Pricing in Multivariate Stochastic Volatility Models of OU Type
Johannes Muhle-Karbe, Oliver Pfaffel, Robert Stelzer
We present a multivariate stochastic volatility model with leverage, which is flexible enough to recapture the individual dynamics as well as the interdependencies between several…