A multivariate stochastic volatility model with applications in the foreign exchange market (Q1621630)
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scientific article; zbMATH DE number 6975834
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A multivariate stochastic volatility model with applications in the foreign exchange market |
scientific article; zbMATH DE number 6975834 |
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A multivariate stochastic volatility model with applications in the foreign exchange market (English)
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9 November 2018
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stochastic volatility models
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multivariate models
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PCSV model
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FX options
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calibration
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triangular relation
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0.94264495
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0.9342276
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0.9098054
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0.90136373
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0.8984742
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0.8982586
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