Work

Estimating the Wishart Affine Stochastic Correlation Model Using the Empirical Characteristic Function

Year: 2007

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.1054721

Authors: José Da Fonseca, Martino Grasselli, Florian Ielpo

Institutions: Auckland University of Technology, University of Padua, Pôle Léonard de Vinci, Centre d'Économie de la Sorbonne, Université Paris 1 Panthéon-Sorbonne

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1977526435

Cites: 61

Cited by: 30

Related to: 10