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We introduce a simulation scheme for Brownian semistationary processes, which is based on discretizing the stochastic integral representation of the process in the time domain.
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O. E. Barndorff-Nielsen and J. Schmiegel (2009). Brownian semistationary processes and volatility/intermittency, in H. Albrecher, W. J. Runggaldier and W. Schachermayer (Eds.)
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O. E. Barndorff-Nielsen, J. M. Corcuera and M. Podolskij (2011). Multipower variation for Brownian semistationary processes
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O. E. Barndorff-Nielsen (2012). Notes on the gamma kernel. Thiele Centre Research Report, No. 03, May 2012, available at
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O. E. Barndorff-Nielsen, F. E. Benth and A. E. D. Veraart (2013). Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
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F. E. Benth, H. Eyjolfsson and A. E. D. Veraart (2014). Approximating Lévy semistationary processes via Fourier methods in the context of power markets
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J. Pedersen and O. Sauri (2015). On Lévy semistationary processes with a gamma kernel, in R. H. Mena, J. C. Pardo, V. Rivero and G. Uribe Bravo (Eds.)
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C. Bayer, P. K. Friz and J. Gatheral (2016). Pricing under rough volatility
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O. E. Barndorff-Nielsen, J. M. Corcuera and M. Podolskij (2013). Limit theorems for functionals of higher order differences of Brownian semistationary processes, in A. N. Shiryaev, S. R. S. Varadhan and E. Presman (Eds.)
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J. M. Corcuera, E. Hedevang, M. S. Pakkanen and M. Podolskij (2013). Asymptotic theory for Brownian semistationary processes with application to turbulence
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M. Bennedsen (2017). A rough multi-factor model of electricity spot prices
2017
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M. Fukasawa (2017). Short-time at-the-money skew and rough fractional volatility
2017
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2021
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