Simulation and inference for stochastic volatility models driven by Levy processes

We study Ornstein-Uhlenbeck stochastic processes driven by Lévyprocesses, and extend them to more general non-Ornstein-Uhlenbeckmodels. In particular, we investigate the means of making thecorrelation structure in the volatility process more flexible.For one model, we implement a method for introducing quasi long-memoryinto the volatility model. We demonstrate that the models canbe fitted to real share price returns data.