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20122026
most citedA criterion for invariant measures of Itô processes based on the symbol

7 citations · 31 across the 20 of their papers we have counts for

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q-fin.PR2024

Volatility modeling in a Markovian environment: Two Ornstein-Uhlenbeck-related approaches

Anita Behme

We introduce generalizations of the COGARCH model of Klüppelberg et al. from 2004 and the volatility and price model of Barndorff-Nielsen and Shephard from 2001 to a Markov-switchi…