The multivariate supOU stochastic volatility model
Year of publication: |
2013
|
---|---|
Authors: | Barndorff-Nielsen, Ole E. ; Stelzer, Robert |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 23.2013, 2, p. 275-296
|
Subject: | Theorie | Theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Finanzmarkt | Financial market | Faktorenanalyse | Factor analysis |
-
The multivariate supOU stochastic volatility model
Barndorff-Nielsen, Ole E., (2009)
-
The Multivariate SupOU Stochastic Volatility Model
Barndorff-Nielsen, Ole E., (2009)
-
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu, (2015)
- More ...
-
Barndorff-Nielsen, Ole E., (2004)
-
Barndorff-Nielsen, Ole E., (2004)
-
The multivariate supOU stochastic volatility model
Barndorff-Nielsen, Ole E., (2009)
- More ...