Veraart, Almut E. D.; Veraart, Luitgard A. M. - School of Economics and Management, University of Aarhus - 2009
have therefore found a process which stays within [−1,1] and hence can be used to model
correlation. If some additional … values around 12 and goes towards its natural bounds 0 or 1.
At the boundaries the mean reversion of the process kicks in … to be independent.
If 2αβ ≥γ2, σ2 stays almost surely positive when σ0 > 0.
Remark It follows immediately from L …