Raknerud, Arvid; Skare, Øivind - Statistisk Sentralbyrå, Government of Norway - 2010
This paper extends the ordinary quasi-likelihood estimator for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck (OU) processes to vector processes. Despite the fact that multivariate modeling of asset returns is essential for portfolio optimization and risk management --...
