Barndorff-Nielsen, Ole Eiler; Stelzer, Robert - School of Economics and Management, University of Aarhus - 2009
Using positive semidefinite supOU (superposition of Ornstein-Uhlenbeck type) processes to describe the volatility, we introduce a multivariate stochastic volatility model for financial data which is capable of modelling long range dependence effects. The finiteness of moments and the second...