Estimating the Wishart Affine Stochastic Correlation model using the empirical characteristic function
José Da Fonseca, Martino Grasselli and Florian Ielpo
| Year of publication: |
2014
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|---|---|
| Authors: | Fonseca, José da ; Grasselli, Martino ; Ielpo, Florian |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 18.2014, 3, p. 253-289
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| Subject: | Wishart Process | Empirical Characteristic Function | Stochastic Correlation | Generalized Method of Moments | Stochastischer Prozess | Stochastic process | Korrelation | Correlation | Momentenmethode | Method of moments | Schätztheorie | Estimation theory | Schätzung | Estimation |