Multivariate COGARCH(1, 1) processes

DOI10.3150/09-BEJ196zbMath1200.62110arXiv1002.4261MaRDI QIDQ605037

Robert Stelzer

Publication date: 12 November 2010

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1002.4261

zbMATH Keywords

stochastic volatility; stochastic differential equations; stationarity; Lévy process; multivariate GARCH; COGARCH; positive definite random matrix process; second-order moment structure; variance mixture model

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

62E15: Exact distribution theory in statistics

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

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