A Fractionally Integrated Wishart Stochastic Volatility Model
Year of publication: |
2013-01-31
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Authors: | Asai, Manabu ; McAleer, Michael |
Institutions: | Tinbergen Instituut |
Subject: | Diffusion process | Multivariate stochastic volatility | Long memory | Fractional Brownian motion | Generalized method of moments |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Tinbergen Institute Discussion Papers Number 13-025/III |
Classification: | C32 - Time-Series Models ; C51 - Model Construction and Estimation ; G13 - Contingent Pricing; Futures Pricing |
Source: |
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A Fractionally Integrated Wishart Stochastic Volatility Model
Asai, Manabu, (2013)
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A fractionally integrated wishart stochastic volatility model
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