发帖
雷达卡
英文文献：The multivariate supOU stochastic volatility model-多变量苏ou随机波动模型
英文文献作者：Ole Eiler Barndorff-Nielsen,Robert Stelzer
英文文献摘要：
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 order structure of the volatility, the log returns, as well as their “squares” are discussed in detail. Moreover, we give several examples in which long memory effects occur and study how the model as well as the simple Ornstein-Uhlenbeck type stochastic volatility model behave under linear transformations. In particular, the models are shown to be preserved under invertible linear transformations. Finally, we discuss how (sup)OU stochastic volatility models can be combined with a factor modelling approach.
利用半定正supOU (Ornstein-Uhlenbeck叠加)过程来描述波动率，我们为金融数据引入了一个能够建模长期依赖效应的多元随机波动率模型。详细讨论了矩的有限性、波动率的二阶结构、对数回归以及它们的“平方”。此外，我们给出了长记忆效应发生的几个例子，并研究了该模型以及简单的Ornstein-Uhlenbeck型随机波动率模型在线性变换下的表现。特别地，模型被证明在可逆线性变换下保持不变。最后，我们讨论了如何将随机波动率模型与因子建模方法结合起来。
京公网安备 11010802022788号
