TY  - RPRT
AU  - Asai, Manabu
AU  - McAleer, Michael
PY  - 2013
UR  - https://hdl.handle.net/20.500.14352/41453
AB  - There has recently been growing interest in modeling and estimating alternative continuous time multivariate stochastic volatility models. We propose a continuous time fractionally integrated Wishart stochastic volatility (FIWSV) process. We derive...
LA  - eng
KW  - Diusion process
KW  - Multivariate stochastic volatility
KW  - Long memory
KW  - Fractional Brownian motion
KW  - Generalized Method of Moments.
TI  - A Fractionally Integrated Wishart Stochastic Volatility Model
TY  - technical report
VL  - 2013
ER  -