Factor multivariate stochastic volatility via Wishart processes
Alexander Philipov; Mark E. Glickman
| Year of publication: |
2006
|
|---|---|
| Authors: | Philipov, Alexander ; Glickman, Mark E. |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 25.2006, 2/3, p. 311-334
|
| Subject: | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Multivariate Analyse | Multivariate analysis | CAPM | Kapitaleinkommen | Capital income | Schätzung | Estimation | USA | United States | 1975-2001 |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003355767