Moments of MGOU processes and positive semidefinite matrix processes
Publikation: Beitrag in Fachzeitschrift › Forschungsartikel › Beigetragen › Begutachtung
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
Originalsprache | Englisch |
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Seiten (von - bis) | 183-197 |
Fachzeitschrift | Journal of Multivariate Analysis |
Jahrgang | 111 |
Publikationsstatus | Veröffentlicht - 2012 |
Peer-Review-Status | Ja |
Extern publiziert | Ja |
Externe IDs
Scopus | 84862267122 |
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