Continuous Time Wishart Process for Stochastic Risk (Q5485103): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Some Extensions of the Wishart Distribution / rank
 
Normal rank
Property / cites work
 
Property / cites work: A generalized dynamic conditional correlation model for portfolio risk evaluation / rank
 
Normal rank
Property / cites work
 
Property / cites work: ARCH modeling in finance. A review of the theory and empirical evidence / rank
 
Normal rank
Property / cites work
 
Property / cites work: GENERALIZATION OF GMM TO A CONTINUUM OF MOMENT CONDITIONS / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Theory of the Term Structure of Interest Rates / rank
 
Normal rank
Property / cites work
 
Property / cites work: A YIELD‐FACTOR MODEL OF INTEREST RATES / rank
 
Normal rank
Property / cites work
 
Property / cites work: Transform Analysis and Asset Pricing for Affine Jump-diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Affine processes and applications in finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5624436 / rank
 
Normal rank
Property / cites work
 
Property / cites work: An efficiency result for the empirical characteristic function in stationary time-series models / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Canonical Representation for the Noncentral Wishart Distribution Useful for Simulation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Derivative Pricing With Wishart Multivariate Stochastic Volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Wishart autoregressive process of multivariate stochastic volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: SOLVABLE AFFINE TERM STRUCTURE MODELS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multivariate Stochastic Variance Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bayesian analysis of stochastic volatility models with fat-tails and correlated errors / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimating equations based on eigenfunctions for a discretely observed diffusion process / rank
 
Normal rank
Property / cites work
 
Property / cites work: Volatility and Links between National Stock Markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY / rank
 
Normal rank
Property / cites work
 
Property / cites work: Factor Multivariate Stochastic Volatility via Wishart Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation of affine asset pricing models using the empirical characteristic function / rank
 
Normal rank
Property / cites work
 
Property / cites work: A test for constant correlations in a multivariate GARCH model / rank
 
Normal rank

Latest revision as of 19:44, 24 June 2024

scientific article; zbMATH DE number 5050403
Language Label Description Also known as
English
Continuous Time Wishart Process for Stochastic Risk
scientific article; zbMATH DE number 5050403

    Statements

    Continuous Time Wishart Process for Stochastic Risk (English)
    0 references
    28 August 2006
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    credit risk
    0 references
    quadratic term structure
    0 references
    stochastic volatility
    0 references
    Ornstein-Uhlenbeck process
    0 references
    conditional Laplace transform
    0 references
    Riccati equation
    0 references
    0 references
    0 references