Ranieri Dugo

University of Rome Tor Vergata - Department of Economics and Finance

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The Multivariate Fractional Ornstein-Uhlenbeck Process

CEIS Research paper No 581
Number of pages: 41 Posted: 28 Aug 2024
Ranieri Dugo, Giacomo Giorgio and Paolo Pigato
University of Rome Tor Vergata - Department of Economics and Finance, University of Tor Vergata and University of Rome Tor Vergata - Department of Economics and Finance
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Abstract:

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Fractional process, multivariate process, ergodic process, long-range dependence, cross-correlation, parameters inference, rough volatility