A fractionally integrated Wishart stochastic volatility model (Q5864454)
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scientific article; zbMATH DE number 7537910
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A fractionally integrated Wishart stochastic volatility model |
scientific article; zbMATH DE number 7537910 |
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A fractionally integrated Wishart stochastic volatility model (English)
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7 June 2022
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diffusion process
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fractional Brownian motion
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generalized method of moments
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long memory
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multivariate stochastic volatility
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