Multivariate stochastic volatility via Wishart processes
Alexander Philipov, Mark E. Glickman
| Year of publication: |
2006
|
|---|---|
| Authors: | Philipov, Alexander ; Glickman, Mark E. |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 24.2006, 3, p. 313-328
|
| Subject: | Finanzmarkt | Financial market | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | ARCH-Modell | ARCH model | USA | United States |
| 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/10003349348