Discrete time Wishart term structure models

DOI10.1016/j.jedc.2011.01.007zbMath1231.91455MaRDI QIDQ543795

Christian Gouriéroux, Razvan Sufana

Publication date: 17 June 2011

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2011.01.007

zbMATH Keywords

Wishart process; affine process; affine term structure; CAR process; quadratic term structure

Mathematics Subject Classification ID

91G30: Interest rates, asset pricing, etc. (stochastic models)

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