Multivariate COGARCH(1, 1) processes (Q605037)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multivariate COGARCH(1, 1) processes |
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Multivariate COGARCH(1, 1) processes (English)
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12 November 2010
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COGARCH
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Lévy process
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multivariate GARCH
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positive definite random matrix process
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second-order moment structure
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stationarity
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stochastic differential equations
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stochastic volatility
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variance mixture model
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