Moments of MGOU processes and positive semidefinite matrix processes

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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 languageEnglish
Pages (from-to)183-197
JournalJournal of Multivariate Analysis
Volume111
Publication statusPublished - 2012
Peer-reviewedYes
Externally publishedYes

External IDs

Scopus 84862267122

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