Moments of MGOU processes and positive semidefinite matrix processes

Publikation: Beitrag in FachzeitschriftForschungsartikelBeigetragenBegutachtung

Beitragende

Abstract

Moment conditions for multivariate generalized Ornstein-Uhlenbeck (MGOU) processes are derived and the first and second moments 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 modeling.

Details

OriginalspracheEnglisch
Seiten (von - bis)183-197
FachzeitschriftJournal of Multivariate Analysis
Jahrgang111
PublikationsstatusVeröffentlicht - 2012
Peer-Review-StatusJa
Extern publiziertJa

Externe IDs

Scopus 84862267122

Schlagworte

Bibliotheksschlagworte