Comparison of stochastic correlation models (Q2314458)

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Language	Label	Description	Also known as
English	Comparison of stochastic correlation models	scientific article

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scholarly article

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Comparison of stochastic correlation models (English)

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Journal of Mathematical Sciences (New York)

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publication date

23 July 2019

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s10958-019-04207-y

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Sulla dissomiglianza tra mutabili cicliche

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The Wishart autoregressive process of multivariate stochastic volatility

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

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Estimating asset correlations from stock prices or default rates -- which method is superior?

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Statistical Inference Procedures for Bivariate Archimedean Copulas

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Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation

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Goodness-of-fit tests for copulas: A review and a power study

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Pricing Derivatives Under Lévy Models

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Directional dependence in multivariate distributions

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ON THE HESTON MODEL WITH STOCHASTIC CORRELATION

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Goodness-of-fit test for specification of semiparametric copula dependence models

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1007/S10958-019-04207-Y

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Mathematics(1 entry)

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