Moments of MGOU processes and positive semidefinite matrix processes
Research output: Contribution to journal › Research article › Contributed › peer-review
Contributors
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
Original language | English |
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Pages (from-to) | 183-197 |
Journal | Journal of Multivariate Analysis |
Volume | 111 |
Publication status | Published - 2012 |
Peer-reviewed | Yes |
Externally published | Yes |
External IDs
Scopus | 84862267122 |
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