Multivariate COGARCH(1, 1) processes
Multivariate COGARCH(1, 1) processes
Multivariate COGARCH(1, 1) processes are introduced as a continuous-time models for multidimensional heteroskedastic observations. Our model is driven by a single multivariate Lévy process and the latent time-varying covariance matrix is directly specified as a stochastic process in the positive semidefinite matrices. After defining the COGARCH(1, 1) process, we analyze …