Estimating the Wishart affine stochastic correlation model using the empirical characteristic function (Q905380): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1515/snde-2012-0009
+Normal rank
@@ Property / OpenAlex ID @@
+W3125453173
@@ Property / OpenAlex ID: W3125453173 / rank @@
+Normal rank
@@ Property / cites work @@
+Multivariate Stochastic Volatility: A Review
@@ Property / cites work: Multivariate Stochastic Volatility: A Review / rank @@
+Normal rank
@@ Property / cites work @@
+Forecasting multivariate realized stock market volatility
+Normal rank
@@ Property / cites work @@
+Convergence theorems for a class of simulated annealing algorithms on ℝ<sup><i>d</i></sup>
+Normal rank
@@ Property / cites work @@
+Wishart processes
@@ Property / cites work: Wishart processes / rank @@
+Normal rank
@@ Property / cites work @@
+GENERALIZATION OF GMM TO A CONTINUUM OF MOMENT CONDITIONS
+Normal rank
@@ Property / cites work @@
+EFFICIENT ESTIMATION USING THE CHARACTERISTIC FUNCTION
+Normal rank
@@ Property / cites work @@
+Efficient estimation of general dynamic models with a continuum of moment conditions
+Normal rank
@@ Property / cites work @@
+Spectral GMM estimation of continuous-time processes
+Normal rank
@@ Property / cites work @@
+Option pricing when correlations are stochastic: an analytical framework
+Normal rank
@@ Property / cites work @@
+A multifactor volatility Heston model
@@ Property / cites work: A multifactor volatility Heston model / rank @@
+Normal rank
@@ Property / cites work @@
+Differentiation of non-hermitian matrix functions depending on a parameter
+Normal rank
@@ Property / cites work @@
+Integration and differentiation of functions of Hermitian operators and applications to the theory of perturbations
+Normal rank
@@ Property / cites work @@
+Q4405419
@@ Property / cites work: Q4405419 / rank @@
+Normal rank
@@ Property / cites work @@
+Simulated Moments Estimation of Markov Models of Asset Prices
+Normal rank
@@ Property / cites work @@
+Q5470462
@@ Property / cites work: Q5470462 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation of objective and risk-neutral distributions based on moments of integrated volatility
+Normal rank
@@ Property / cites work @@
+Fully symmetric interpolatory rules for multiple integrals over infinite regions with Gaussian weight
+Normal rank
@@ Property / cites work @@
+Continuous Time Wishart Process for Stochastic Risk
+Normal rank
@@ Property / cites work @@
+Q4429917
@@ Property / cites work: Q4429917 / rank @@
+Normal rank
@@ Property / cites work @@
+Derivative Pricing With Wishart Multivariate Stochastic Volatility
+Normal rank
@@ Property / cites work @@
+Encompassing and indirect inference
@@ Property / cites work: Encompassing and indirect inference / rank @@
+Normal rank
@@ Property / cites work @@
+Q4409944
@@ Property / cites work: Q4409944 / rank @@
+Normal rank
@@ Property / cites work @@
+The Wishart autoregressive process of multivariate stochastic volatility
+Normal rank
@@ Property / cites work @@
+Q4423258
@@ Property / cites work: Q4423258 / rank @@
+Normal rank
@@ Property / cites work @@
+Multivariate Stochastic Variance Models
@@ Property / cites work: Multivariate Stochastic Variance Models / rank @@
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Temporal aggregation of volatility models
@@ Property / cites work: Temporal aggregation of volatility models / rank @@
+Normal rank
@@ Property / cites work @@
+ARCH models as diffusion approximations
@@ Property / cites work: ARCH models as diffusion approximations / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic Filtering Theory for Univariate Arch Models
+Normal rank
@@ Property / cites work @@
+Automatic Lag Selection in Covariance Matrix Estimation
+Normal rank
@@ Property / cites work @@
+Q4746719
@@ Property / cites work: Q4746719 / rank @@
+Normal rank
@@ Property / cites work @@
+Model selection tests for nonlinear dynamic models
+Normal rank
@@ Property / cites work @@
+Estimation of affine asset pricing models using the empirical characteristic function
+Normal rank
@@ Property / cites work @@
+Q5290921
@@ Property / cites work: Q5290921 / rank @@
+Normal rank
@@ Property / cites work @@
+Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
+Normal rank
@@ Property / cites work @@
+Empirical Characteristic Function Estimation and Its Applications
+Normal rank
@@ Property / cites work @@
+On leverage in a stochastic volatility model
@@ Property / cites work: On leverage in a stochastic volatility model / rank @@
+Normal rank