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Document type:
Zeitschriftenaufsatz 
Author(s):
Stelzer, R. 
Title:
Multivariate COGARCH(1,1) Processes 
Abstract:
Multivariate COGARCH(1, 1) processes are introduced as a continuous-time models for multidimensional heteroskedastic observations. Our model is driven by a single multivariate Lévy process and the latent timevarying covariance matrix is directly specified as a stochastic process in the positive semidefinite matrices. After defining the COGARCH(1, 1) process, we analyze its probabilistic properties.We show a sufficient condition for the existence of a stationary distribution for the stoch...    »
 
Keywords:
COGARCH; Lévy process; multivariate GARCH; positive definite random matrix process; second-order moment structure; stationarity; stochastic differential equations; stochastic volatility; variance mixture model 
Journal title:
Bernoulli 
Year:
2010 
Journal volume:
16 
Journal issue:
Pages contribution:
80-115 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
Semester:
SS 10 
Format:
Text