| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1146077 | Journal of Multivariate Analysis | 2012 | 15 Pages |
Abstract
Moment conditions for multivariate generalized Ornstein–Uhlenbeck (MGOU) processes are derived and the first and second moments are given in terms of the driving Lévy processes. In the second part of the paper a class of multivariate, positive semidefinite processes of MGOU-type is developed and suggested for use as squared volatility process in multivariate financial modeling.
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Anita Behme,