José, Da Fonseca; Martino, Grasselli; Florian, Ielpo - In: Studies in Nonlinear Dynamics & Econometrics 18 (2014) 3, pp. 37-37
This paper provides the first estimation strategy for the Wishart Affine Stochastic Correlation (WASC) model. We provide elements showing that the use of empirical characteristic function-based estimates is advisable as this function is exponential affine in the WASC case. We use a GMM...