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Document type:
Zeitschriftenaufsatz 
Author(s):
Pigorsch, C. and Stelzer, R. 
Title:
A multivariate Ornstein-Uhlenbeck type stochastic volatility model 
Abstract:
Using positive semidefinite processes of Ornstein-Uhlenbeck type a multivariate Ornstein-Uhlenbeck (OU) type stochastic volatility model is introduced. We derive many important statistical and probabilistic properties, e.g. the complete second order structure and a state-space representation. Noteworthy, many of our results are shown to be valid for the more general class of multivariate stochastic volatility models, which are driven by a stationary and square-integrable covariance matrix proces...    »
 
Keywords:
Barndofrr-Nielsen-Shephard (BNS) stochastic volatility model; Lévy process; matrix subordinator; multivariate stochastic volatility; Ornstein-Uhlenbeck type process; state-space representation 
Journal title:
Preprint 
Year:
2009 
Reviewed:
ja 
Language:
en 
Semester:
SS 09 
Format:
Text