This paper extends the multiscale stochastic volatility (MSSV) models to allow for heavy tails of the marginal distribution of the asset returns and correlation between the innovation of the mean equation and the innovations of the latent factor processes. Novel algorithms of Markov Chain Monte...

This paper introduces a new class of stochastic volatility models which allows for stochastic volatility of volatility (SVV): Volatility modulated non-Gaussian Ornstein-Uhlenbeck (VMOU) processes. Various probabilistic properties of (integrated) VMOU processes are presented. Further we study the...