The multivariate supOU stochastic volatility model
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References listed on IDEAS
- Richard B. Olsen & Ulrich A. Müller & Michel M. Dacorogna & Olivier V. Pictet & Rakhal R. Davé & Dominique M. Guillaume, 1997. "From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (*)," Finance and Stochastics, Springer, vol. 1(2), pages 95-129.
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Keywordsfactor modelling; Lévy bases; linear transformations; long memory; Ornstein-Uhlenbeck type process; second order moment structure; stochastic volatility;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G0 - Financial Economics - - General
- G1 - Financial Economics - - General Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-10-10 (All new papers)
- NEP-ECM-2009-10-10 (Econometrics)
- NEP-ETS-2009-10-10 (Econometric Time Series)
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