Multivariate COGARCH(1, 1) processes

DOI10.3150/09-BEJ196zbMath1200.62110arXiv1002.4261MaRDI QIDQ605037

Robert Stelzer

Publication date: 12 November 2010

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1002.4261

zbMATH Keywords

stochastic volatilitystochastic differential equationsstationarityLévy processmultivariate GARCHCOGARCHpositive definite random matrix processsecond-order moment structurevariance mixture model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Exact distribution theory in statistics (62E15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (11)

MULTIVARIATE ECOGARCH PROCESSES ⋮ Higher Moments and Prediction‐Based Estimation for the COGARCH(1,1) Model ⋮ Geometric ergodicity of the multivariate COGARCH(1,1) process ⋮ Invariant measures and a stability theorem for locally Lipschitz stochastic delay equations ⋮ LOST IN CONTAGION? BUILDING A LIQUIDATION INDEX FROM COVARIANCE DYNAMICS ⋮ Recent results in the theory and applications of CARMA processes ⋮ Cholesky-GARCH models with applications to finance ⋮ On strong solutions for positive definite jump diffusions ⋮ FIRE SALES FORENSICS: MEASURING ENDOGENOUS RISK ⋮ RUNNING FOR THE EXIT: DISTRESSED SELLING AND ENDOGENOUS CORRELATION IN FINANCIAL MARKETS ⋮ Indirect inference for time series using the empirical characteristic function and control variates

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