A fractionally integrated Wishart stochastic volatility model

DOI10.1080/07474938.2015.1114235OpenAlexW2465465938MaRDI QIDQ5864454

Manabu Asai, Michael McAleer

Publication date: 7 June 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: http://eprints.ucm.es/18068/1/1307.pdf

zbMATH Keywords

fractional Brownian motiongeneralized method of momentsdiffusion processlong memorymultivariate stochastic volatility

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (1)

Peter Schmidt: Econometrician and consummate professional

Cites Work

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