The Multivariate SupOU Stochastic Volatility Model
نویسندگان
چکیده
منابع مشابه
The multivariate supOU stochastic volatility model
Using positive semidefinite supOU (superposition of Ornstein-Uhlenbeck type) processes to describe the volatility, we introduce a multivariate stochastic volatility model for financial data which is capable of modelling long range dependence effects. The finiteness of moments and the second order structure of the volatility, the log returns, as well as their “squares” are discussed in detail. M...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2009
ISSN: 1556-5068
DOI: 10.2139/ssrn.1476739