Ricardo Lalloo

Multivariate Stochastic Volatility under the Assumption of Stochastic Volatility of Volatility

Multivariate stochastic volatility (MSV) models typically allow volatility to evolve stochastically but do not explicitly account for stochastic volatility of volatility. The main aim of this paper is to develop nonparametric MSV models under the assumption of stochastic volatili...