Building multivariate Sato models with linear dependence
Lynn Boen and Florence Guillaume
| Year of publication: |
2019
|
|---|---|
| Authors: | Boen, Lynn ; Guillaume, Florence |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 19.2019, 4, p. 619-645
|
| Subject: | Calibration | Multivariate asset pricing models | Sato processes | Space-scaled self-decomposable laws | Theorie | Theory | CAPM | Multivariate Analyse | Multivariate analysis |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2018.1523547 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194701