The Multivariate Fractional Ornstein-Uhlenbeck Process

Dugo Ranieri, University of Rome Tor Vergata
Giorgio Giacomo, Universita Roma Tor Vergata, Dipartimento di Matematica
Pigato Paolo, Universita Roma Tor Vergata, Dipartimento di Economia e Finanza

In this work, we define a multivariate version of the fractional Ornstein–Uhlenbeck process and consider inference methods for its parameters.

Area: IS17 - Fractional volatility modeling in mathematical finance: from estimation to approximation methods (Stefano De Marco)

Keywords: rough volatility, fractional processes, statistics of processes, multivariate processes

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