Weak diffusion limits of dynamic conditional correlation models
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Publication:5349012
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Cited in
(7)- A scalar dynamic conditional correlation model: structure and estimation
- The continuous-time limit of score-driven volatility models
- A simple joint model for returns, volatility and volatility of volatility
- Stationarity and invertibility of a dynamic correlation matrix.
- On the stationarity of dynamic conditional correlation models
- The continuous limit of weak GARCH
- The continuous-time limit of quasi score-driven volatility models
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