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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Stelzer, R. 
Titel:
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...    »
 
Stichworte:
COGARCH; Lévy process; multivariate GARCH; positive definite random matrix process; second-order moment structure; stationarity; stochastic differential equations; stochastic volatility; variance mixture model 
Zeitschriftentitel:
Bernoulli 
Jahr:
2010 
Band / Volume:
16 
Heft / Issue:
Seitenangaben Beitrag:
80-115 
Reviewed:
ja 
Sprache:
en 
Status:
Verlagsversion / published 
Semester:
SS 10 
Format:
Text