The multivariate supOU stochastic volatility model
From MaRDI portal
Recommendations
- Multivariate supOU processes
- A stochastic volatility factor model of Heston type. Statistical properties and estimation
- Moment based estimation of supOU processes and a related stochastic volatility model
- Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes
- Stochastic Volatility Models with Long Memory
Cites work
- scientific article; zbMATH DE number 194139 (Why is no real title available?)
- Financial Modelling with Jump Processes
- From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
- Matrix Subordinators and Related Upsilon Transformations
- Multivariate supOU processes
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- On the definition, stationary distribution and second order structure of positive semidefinite Ornstein-Uhlenbeck type processes
- Positive-definite matrix processes of finite variation
- Spectral representations of infinitely divisible processes
- Stochastic differential equations. An introduction with applications.
- Superposition of Ornstein-Uhlenbeck type processes
Cited in
(32)- Weak dependence and GMM estimation of supOU and mixed moving average processes
- Limit theorems, scaling of moments and intermittency for integrated finite variance supOU processes
- Infinitely divisible matrix gamma distribution: asymptotic behaviour and parameters estimation
- Infinitely divisible multivariate and matrix gamma distributions
- The unusual properties of aggregated superpositions of Ornstein-Uhlenbeck type processes
- Building multivariate Sato models with linear dependence
- A closed-form solution for outperformance options with stochastic correlation and stochastic volatility
- Moment based estimation of supOU processes and a related stochastic volatility model
- Existence and uniqueness of viscosity solutions of an integro-differential equation arising in option pricing
- Asymptotic analysis for an optimal estimating function for Barndorff-Nielsen Shephard stochastic volatility models
- Option pricing in a stochastic delay volatility model
- Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
- On the use of high frequency measures of volatility in MIDAS regressions
- A multivariate stochastic volatility model with applications in the foreign exchange market
- Solving High-Dimensional Optimal Stopping Problems Using Optimization Based Model Order Reduction
- Large portfolio losses in a turbulent market
- On the process of the eigenvalues of a Hermitian Lévy process
- Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models
- Intermittency and infinite variance: the case of integrated supou processes
- Taylor's law for some infinitely divisible probability distributions from population models
- A stochastic volatility factor model of Heston type. Statistical properties and estimation
- The multifaceted behavior of integrated supOU processes: the infinite variance case
- Almost sure growth of integrated supOU processes
- Tail behavior and almost sure growth rate of superpositions of Ornstein-Uhlenbeck-type processes
- Ole Eiler Barndorff-Nielsen and financial econometrics
- Portfolio single index (PSI) multivariate conditional and stochastic volatility models
- Multivariate supOU processes
- Multivariate continuous-time autoregressive moving-average processes on cones
- Some recent developments in stochastic volatility modelling
- Stationary infinitely divisible processes
- Modeling and computation of an integral operator Riccati equation for an infinite-dimensional stochastic differential equation governing streamflow discharge
- Selfdecomposable fields
This page was built for publication: The multivariate supOU stochastic volatility model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4917299)
