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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