Fourier series method for measurement of multivariate volatilities
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Publication:1848531
DOI10.1007/s780-002-8400-6zbMath1008.62091MaRDI QIDQ1848531
Maria Elvira Mancino, Paul Malliavin
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
62H12: Estimation in multivariate analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
62M15: Inference from stochastic processes and spectral analysis
42B05: Fourier series and coefficients in several variables
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