Algorithm 963

MaRDI QIDQ35469swMATHFDO

Official website https://dl.acm.org/citation.cfm?doid=2956571.2834115

Described by source

• Algorithm 963: Estimation of stochastic covariance models using a continuum of moment conditions

Cited in

(3)

• International portfolio choice under multi-factor stochastic volatility
• Dynamic derivative strategies with stochastic interest rates and model uncertainty
• A stochastic volatility factor model of Heston type. Statistical properties and estimation

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