Fourier series method for measurement of multivariate volatilities
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Publication:1848531
DOI10.1007/s780-002-8400-6zbMath1008.62091OpenAlexW1984849251MaRDI QIDQ1848531
Paul Malliavin, Maria Elvira Mancino
Publication date: 21 November 2002
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s780-002-8400-6
Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and spectral analysis (62M15) Fourier series and coefficients in several variables (42B05)
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