Behme, Anita - In: Finance and Stochastics 29 (2025) 4, pp. 1109-1138
We introduce generalisations of the COGARCH model of Klüppelberg et al. (J. Appl. Probab. 41:601–622 2004 ) and of the volatility and price model of Barndorff-Nielsen and Shephard (J. R. Stat. Soc., Ser. B Stat. Methodol. 63:167–241 2001 ) to a Markov-switching environment. These...
