Multivariate supOU processes

DOI10.1214/10-AAP690zbMath1235.60032arXiv1101.0068WikidataQ115169524 ScholiaQ115169524MaRDI QIDQ627238

Ole Eiler Barndorff-Nielsen, Robert Stelzer

Publication date: 21 February 2011

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1101.0068

zbMATH Keywords

stochastic differential equation; long memory; normal matrices; Ornstein-Uhlenbeck-type processes; second-order moment structure; Lévy bases; positive semi-definite stochastic processes

Mathematics Subject Classification ID

60E07: Infinitely divisible distributions; stable distributions

60G51: Processes with independent increments; Lévy processes

60G10: Stationary stochastic processes

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

60G57: Random measures

Related Items

THE WISHART SHORT RATE MODEL, THE MULTIVARIATE supOU STOCHASTIC VOLATILITY MODEL, Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes, Functional regular variation of Lévy-driven multivariate mixed moving average processes, Random matrix models of stochastic integral type for free infinitely divisible distributions, Intermittency of superpositions of Ornstein-Uhlenbeck type processes, Selfdecomposable fields, Quasi Ornstein-Uhlenbeck processes, Stationary infinitely divisible processes, On the use of high frequency measures of volatility in MIDAS regressions, Integrability conditions for space-time stochastic integrals: theory and applications, Ornstein-Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility, Weak dependence and GMM estimation of supOU and mixed moving average processes, Intermittency and infinite variance: the case of integrated supou processes, The multifaceted behavior of integrated supOU processes: the infinite variance case, Infinitely divisible multivariate and matrix gamma distributions, Superposition of COGARCH processes, Limit theorems, scaling of moments and intermittency for integrated finite variance supOU processes, The unusual properties of aggregated superpositions of Ornstein-Uhlenbeck type processes, Stationary and multi-self-similar random fields with stochastic volatility, Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes, On the Process of the Eigenvalues of a Hermitian Lévy process, Tail behavior of multivariate lévy-driven mixed moving average processes and supOU Stochastic Volatility Models, Multifractal scenarios for products of geometric Lévy-based stationary models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the definition, stationary distribution and second order structure of positive semidefinite Ornstein-Uhlenbeck type processes
• Operator-selfdecomposable distributions as limit distributions of processes of Ornstein-Uhlenbeck type
• Multivariate CARMA processes
• Do price and volatility jump together?
• Spectral representations of infinitely divisible processes
• Semimartingales: A course on stochastic processes
• Time series: theory and methods.
• On cones and stability
• From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
• Continuity and boundedness of infinitely divisible processes: A Poisson point process approach
• Multivariate fractionally integrated CARMA processes
• Characterization of dependence of multidimensional Lévy processes using Lévy copulas
• Fractional Lévy processes with an application to long memory moving average processes
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Superposition of Ornstein--Uhlenbeck Type Processes
• Analysis of Fourier Transform Valuation Formulas and Applications
• Matrix Subordinators and Related Upsilon Transformations
• Some stationary processes in discrete and continuous time
• Financial Modelling with Jump Processes
• Representations of continuous-time ARMA processes
• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
• Option Pricing in Multivariate Stochastic Volatility Models of OU Type
• THE MULTIVARIATE supOU STOCHASTIC VOLATILITY MODEL
• Lévy Copulas: Dynamics and Transforms of Upsilon Type
• Quasi‐Maximum Likelihood Estimation for a Class of Continuous‐time Long‐memory Processes
• Extremes of regularly varying Lévy-driven mixed moving average processes
• Stochastic differential equations. An introduction with applications.
• Lévy-driven CARMA processes