Related Books

Multivariate stochastic volatility via Wishart processes : a continuation
Language: en
Pages: 36
Authors: Wolfgang Rinnergschwentner
Categories:
Type: BOOK - Published: 2011 - Publisher:

GET EBOOK

Multivariate Stochastic Volatility Via Wishart Random Processes
Language: en
Pages: 57
Authors: Alexander Philipov
Categories:
Type: BOOK - Published: 2004 - Publisher:

GET EBOOK

Financial models for asset and derivatives pricing, risk management, portfolio optimization, and asset allocation rely on volatility forecasts. Time-varying vol
Essays on Multivariate Stochastic Volatility Models Using Wishart Processes
Language: en
Pages: 87
Authors: Yu-Cheng Ku
Categories:
Type: BOOK - Published: 2010 - Publisher:

GET EBOOK

Matrix-State Particle Filter for Wishart Stochastic Volatility Processes
Language: en
Pages: 0
Authors: Roberto Casarin
Categories:
Type: BOOK - Published: 2010 - Publisher:

GET EBOOK

This work deals with multivariate stochastic volatility models, which account for a time-varying variance-covariance structure of the observable variables. We f
Multivariate Continuous Time Stochastic Volatility Models Driven by a Lévy Process
Language: en
Pages:
Authors:
Categories:
Type: BOOK - Published: 2007 - Publisher:

GET EBOOK

Several multivariate stochastic models in continuous time are introduced and their probabilistic and statistical properties are studied in detail. All models ar