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THE MULTIVARIATE supOU STOCHASTIC VOLATILITY MODEL

✍ Scribed by Ole Eiler Barndorff-Nielsen; Robert Stelzer

Book ID
111043244
Publisher
John Wiley and Sons
Year
2011
Tongue
English
Weight
223 KB
Volume
23
Category
Article
ISSN
0960-1627

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## Abstract A new multivariate stochastic volatility model is developed in this paper. The main feature of this model is to allow threshold asymmetry in a factor covariance structure. The new model provides a parsimonious characterization of volatility and correlation asymmetry in response to marke