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THE MULTIVARIATE supOU STOCHASTIC VOLATILITY MODEL - MaRDI portal

THE MULTIVARIATE supOU STOCHASTIC VOLATILITY MODEL (Q4917299)

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scientific article; zbMATH DE number 6159248
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English
THE MULTIVARIATE supOU STOCHASTIC VOLATILITY MODEL
scientific article; zbMATH DE number 6159248

    Statements

    title
    THE MULTIVARIATE supOU STOCHASTIC VOLATILITY MODEL (English)
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    publication date
    29 April 2013
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    zbMATH Keywords
    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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    Identifiers

    zbMATH DE Number
    6159248
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    OpenAlex ID
    W3125092719
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