13-025/III - A Fractionally Integrated Wishart Stochastic Volatility Model

• Authors
  Manabu Asai, Soka University, Japan, and University of Pennsylvania; Michael McAleer, Erasmus School of Economics, Kyoto University, Japan, and Complutense University of Madrid, Spain
• Publication date
  January 31, 2013

• Keywords
  Diffusion process; Multivariate stochastic volatility; Long memory; Fractional Brownian motion, Generalized method of moments
• JEL
  C32, C51, G13