THE MULTIVARIATE supOU STOCHASTIC VOLATILITY MODEL (Q4917299)
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scientific article; zbMATH DE number 6159248
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | THE MULTIVARIATE supOU STOCHASTIC VOLATILITY MODEL |
scientific article; zbMATH DE number 6159248 |
Statements
THE MULTIVARIATE supOU STOCHASTIC VOLATILITY MODEL (English)
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29 April 2013
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factor modeling
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Lévy bases
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linear transformations
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long memory
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Ornstein-Uhlenbeck type process
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second-order moment structure
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stochastic volatility
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