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Econometric analysis of realised volatility and its use in estimating Lévy based non-Gaussian OU type stochastic volatility models
Barndorff-Nielsen, Ole E., (2000)
Testing for serial correlation in the presence of stochastic volatility
Asai, Manabu, (2000)
A correlated stochastic volatility model measuring leverage and other stylized facts
Masoliver, Jaume, (2002)
Alternative Asymmetric Stochastic Volatility Models
Asai, Manabu, (2009)
Block Structure Multivariate Stochastic Volatility Models
Modelling and Forecasting Noisy Realized Volatility