Recent content by aaps

I got confused when I looked at the example you put: Stocks = {1.0190, 1.0383. 0.9982, 1,.0128, 1.0133, 0.9963, 0.9999, 1.0248} Is that the return of each stock in time t + 1? If this is the case, then you should instead work with Stocks = {0.0190, 0.0383. -0.0018...} Then you just...

Thanks. I think I will simulate a multivariate discrete stochastic volatility model, such as Harvey, Ruiz and Shepard 1992, RFS. It is much easier and I will save a lot of work.

I'd like to know how to simulate a d-dimensional or multivariate diffusion, such as a multivariate version of the Heston model. Can anyone recommend a useful reference for me? Thanks a lot!:tiphat: