Algorithm 963
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Publication:5270763
DOI10.1145/2834115zbMath1369.65015OpenAlexW2469157933WikidataQ113310217 ScholiaQ113310217MaRDI QIDQ5270763
Rudi Zagst, Benedikt Rudolph, Marcos Escobar
Publication date: 30 June 2017
Published in: ACM Transactions on Mathematical Software (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1145/2834115
estimationcharacteristic functioncontinuous timeWishart processstochastic covariancecontinuum of moment conditionsprincipal component process
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Related Items (5)
Optimal investment under multi-factor stochastic volatility ⋮ Dynamic derivative strategies with stochastic interest rates and model uncertainty ⋮ International portfolio choice under multi-factor stochastic volatility ⋮ A stochastic volatility factor model of heston type. Statistical properties and estimation ⋮ Algorithm 963
Uses Software
Cites Work
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- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
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