Affine processes on positive semidefinite matrices - Research Collection

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Author

Cuchiero, Christa

Filipović, Damir

Mayerhofer, Eberhard

Teichmann, Josef

Date

2011

Type

Journal Article

Citations

Cited 44 times in Web of Science

ETH Bibliography

yes

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Publication status

published

External links

https://doi.org/10.1214/10-AAP710

Journal / series

The annals of applied probability

Volume

21(2)

Pages / Article No.

397 - 463

Publisher

Institute of Mathematical Statistics

Subject

Affine processes; Wishart processes; Stochastic volatility; Stochastic invariance

Organisational unit

03845 - Teichmann, Josef

Notes

.

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Citations

Cited 44 times in Web of Science

ETH Bibliography

yes

Altmetrics