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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| English | 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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0.8145095109939575
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0.7952208518981934
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0.7861260175704956
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