Pages that link to "Item:Q4917299"

The following pages link to THE MULTIVARIATE supOU STOCHASTIC VOLATILITY MODEL (Q4917299):

Displaying 20 items.

• Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes (Q358131) (← links)
• Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models (Q404585) (← links)
• Selfdecomposable fields (Q521968) (← links)
• Multivariate supOU processes (Q627238) (← links)
• Stationary infinitely divisible processes (Q642197) (← links)
• On the use of high frequency measures of volatility in MIDAS regressions (Q726593) (← links)
• A multivariate stochastic volatility model with applications in the foreign exchange market (Q1621630) (← links)
• Weak dependence and GMM estimation of supOU and mixed moving average processes (Q1722057) (← links)
• Large portfolio losses in a turbulent market (Q2030632) (← links)
• Intermittency and infinite variance: the case of integrated supou processes (Q2042808) (← links)
• Modeling and computation of an integral operator Riccati equation for an infinite-dimensional stochastic differential equation governing streamflow discharge (Q2094349) (← links)
• Infinitely divisible matrix gamma distribution: asymptotic behaviour and parameters estimation (Q2112277) (← links)
• Taylor's law for some infinitely divisible probability distributions from population models (Q2157805) (← links)
• The multifaceted behavior of integrated supOU processes: the infinite variance case (Q2209303) (← links)
• Infinitely divisible multivariate and matrix gamma distributions (Q2252892) (← links)
• Limit theorems, scaling of moments and intermittency for integrated finite variance supOU processes (Q2280023) (← links)
• A closed-form solution for outperformance options with stochastic correlation and stochastic volatility (Q2351280) (← links)
• The unusual properties of aggregated superpositions of Ornstein-Uhlenbeck type processes (Q2419668) (← links)
• On the Process of the Eigenvalues of a Hermitian Lévy process (Q2956054) (← links)
• Multivariate continuous-time autoregressive moving-average processes on cones (Q6115253) (← links)