Affine processes on positive semidefinite matrices - Research Collection

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Autor(in)

Cuchiero, Christa

Filipović, Damir

Mayerhofer, Eberhard

Teichmann, Josef

Datum

2011

Typ

Journal Article

Zitate

88 Zitate in Web of Science

ETH Bibliographie

yes

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Publikationsstatus

published

Externe Links

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

Zeitschrift / Serie

The Annals of Applied Probability

Band

21(2)

Seiten / Artikelnummer

397 - 463

Verlag

Institute of Mathematical Statistics

Thema

Affine processes; Wishart processes; Stochastic volatility; Stochastic invariance

Organisationseinheit

03845 - Teichmann, Josef / Teichmann, Josef

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Zitate

88 Zitate in Web of Science

ETH Bibliographie

yes

Altmetrics