Moments of MGOU processes and positive semidefinite matrix processes

DOI10.1016/j.jmva.2012.04.009zbMath1247.60065OpenAlexW2007782269MaRDI QIDQ444969

Anita Behme

Publication date: 24 August 2012

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2012.04.009

zbMATH Keywords

moment conditionsmultivariate financial modelingmultivariate generalized Ornstein-Uhlenbeck (MGOU) processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Financial applications of other theories (91G80)

Related Items

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Cites Work

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• The Wishart autoregressive process of multivariate stochastic volatility
• Multivariate generalized Ornstein-Uhlenbeck processes
• On the definition, stationary distribution and second order structure of positive semidefinite Ornstein-Uhlenbeck type processes
• Risk theory in a stochastic economic environment
• The approximate Euler method for Lévy driven stochastic differential equations
• Positive operators and an inertia theorem
• Distributional properties of solutions of dV_t = V_t-dU_t + dL_t with Lévy noise
• Matrix Subordinators and Related Upsilon Transformations
• A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour

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