I would like to use maximum likelihood to estimate the parameters of two correlated Ornstein-Uhlenbeck processes from empirical data.
Do you have any good references for this? If you have any hints as to how to code it in Matlab, that would also be great.
I suppose I can just use the log-likelihood function for multivariate processes and then I need mean and variance of an Ornstein-Uhlenbeck process, e.g. as described in this answer. Right?
However, even once I have coded it in Matlab, I would still have to reference where I got the formulas from, and there it would be helpful to have some (academic) papers.
I am familiar with the paper by Schwartz and Smith 2000 (Short-term variations and long-term dynamics in commodity prices, Management Science), but this one is on 1 O-U and 1 Brownian Motion.