A stochastic volatility factor model of heston type. Statistical properties and estimation (Q5085832)

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scientific article; zbMATH DE number 7550681
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A stochastic volatility factor model of heston type. Statistical properties and estimation
scientific article; zbMATH DE number 7550681

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    A stochastic volatility factor model of heston type. Statistical properties and estimation (English)
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    30 June 2022
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    continuous-time
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    stochastic covariance processes
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    CGMM estimation
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    characteristic functions
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    ergodicity
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    stationarity
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    mixing properties
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