Multivariate Stochastic Volatility via Wishart Processes
基于 Wishart 过程的多变量随机波动率模型
Financial models for asset and derivatives pricing, risk management, portfolio optimization, and asset allocation rely on volatility forecasts. Time-varying volatility models, such as generalized autoregressive conditional heteroscedasticity and stochastic volatility (SVOL), have been successful in improving forecasts over constant volatility models. We develop a new multivariate SVOL framework for modeling financial data that assumes covariance matrices stochastically…