Maximum likelihood estimation for Wishart processes (Q326826): Difference between revisions

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+.03323
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+Exact and high-order discretization schemes for Wishart processes and their affine extensions
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+Affine diffusions and related processes: simulation, theory and applications
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+Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases
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+Asymptotic Behavior of the Maximum Likelihood Estimator for Ergodic and Nonergodic Square-Root Diffusions
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+Wishart processes
@@ Property / cites work: Wishart processes / rank @@
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+Affine processes on positive semidefinite matrices
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+Estimating the Wishart affine stochastic correlation model using the empirical characteristic function
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+Option pricing when correlations are stochastic: an analytical framework
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+Positive definiteness in the numerical solution of Riccati differential equations
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+On estimating the diffusion coefficient
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+Some properties of the Wishart processes and a matrix extension of the Hartman-Watson laws
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+On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
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+THE WISHART SHORT RATE MODEL
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+The Explicit Laplace Transform for the Wishart Process
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+Q5689624
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+Derivative Pricing With Wishart Multivariate Stochastic Volatility
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+Discrete time Wishart term structure models
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Statistical inference for ergodic diffusion processes.
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+Q3288488
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+Asymptotics in statistics. Some basic concepts.
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+On the Matrix Riccati Equation
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+On contiguity of probability measures corresponding to semimartingales
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+Local asymptotic mixed normality for semimartingale experiments
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+On matrix convexity of the Moore-Penrose inverse
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+Estimation for Continuous Branching Processes
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+Sur quelques algorithmes récursifs pour les probabilités numériques
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+Q4508926
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+A note on the existence of unique equivalent martingale measures in a Markovian setting
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+Q4284032
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+Publication:326826