A stochastic volatility factor model of heston type. Statistical properties and estimation

DOI10.1080/17442508.2017.1316272zbMath1498.60282OpenAlexW2610952908MaRDI QIDQ5085832

Marcos Escobar

Publication date: 30 June 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2017.1316272

zbMATH Keywords

ergodicitycharacteristic functionsstationaritycontinuous-timemixing propertiesCGMM estimationstochastic covariance processes

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Uses Software

• Algorithm 963

Cites Work

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