Moments of MGOU processes and positive semidefinite matrix processes
نویسنده
چکیده
Moment conditions for multivariate generalized Ornstein-Uhlenbeck (MGOU) processes are derived and first and second moment are given in terms of the driving Lévy processes. In the second part of the paper a class of multivariate, positive semidefinite processes of MGOU–type is developed and suggested for use as squared volatility process in multivariate financial modelling.
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ورودعنوان ژورنال:
- J. Multivariate Analysis
دوره 111 شماره
صفحات -
تاریخ انتشار 2012