BEJ196 10.3150/09-BEJ196 BEJ0812-007 29 Multivariate COGARCH(1,1) Robert Stelzer TUM Institute for Advanced Study & Zentrum Mathematik, Technische Universität München rstelzer@ma.tum.de http://www.e-publications.org/ims/submission/index.php/BEJ/user/submissionFile/4384?confirm=2c1f8b07