Invariant measures for multidimensional fractional stochastic volatility models

Bal\'azs Gerencs\'er and Mikl\'os R\'asonyi

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Abstract: We establish convergence to an invariant measure as time tends to infinity, for a large class of (possibly non-Markovian) stochastic volatility models. Our arguments are based on a novel coupling idea for Markov chains which also extends to Markov chains in random environments in an efficient way.

Date: 2020-02, Revised 2021-08
New Economics Papers: this item is included in nep-ecm and nep-rmg
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