Multivariate COGARCH(1, 1) processes (Q605037): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
links / mardi / name | links / mardi / name | ||
Revision as of 08:51, 30 January 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Multivariate COGARCH(1, 1) processes |
scientific article |
Statements
Multivariate COGARCH(1, 1) processes (English)
0 references
12 November 2010
0 references
COGARCH
0 references
Lévy process
0 references
multivariate GARCH
0 references
positive definite random matrix process
0 references
second-order moment structure
0 references
stationarity
0 references
stochastic differential equations
0 references
stochastic volatility
0 references
variance mixture model
0 references