Estimating the Wishart affine stochastic correlation model using the empirical characteristic function

DOI10.1515/SNDE-2012-0009zbMath1329.91148OpenAlexW3125453173MaRDI QIDQ905380

Martino Grasselli, Florian Ielpo, José Da Fonseca

Publication date: 19 January 2016

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2012-0009

zbMATH Keywords

generalized method of momentsempirical characteristic functionstochastic correlationWishart process

Mathematics Subject Classification ID

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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Uses Software

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• PATSYM
• HRMSYM

Cites Work

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