Estimating the Wishart affine stochastic correlation model using the empirical characteristic function
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Publication:905380
DOI10.1515/snde-2012-0009zbMath1329.91148OpenAlexW3125453173MaRDI QIDQ905380
Martino Grasselli, Florian Ielpo, José Da Fonseca
Publication date: 19 January 2016
Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/snde-2012-0009
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20) Point estimation (62F10) Characteristic functions; other transforms (60E10)
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