Affine processes on positive semidefinite matrices
dc.contributor.author
Cuchiero, Christa
dc.contributor.author
Filipović, Damir
dc.contributor.author
Mayerhofer, Eberhard
dc.contributor.author
Teichmann, Josef
dc.date.accessioned
2017-06-09T10:56:58Z
dc.date.available
2017-06-09T10:56:58Z
dc.date.issued
2011
dc.identifier.issn
2168-8737
dc.identifier.issn
1050-5164
dc.identifier.other
10.1214/10-AAP710
dc.identifier.uri
http://hdl.handle.net/20.500.11850/34566
dc.language.iso
en
dc.publisher
Institute of Mathematical Statistics
dc.subject
Affine processes
dc.subject
Wishart processes
dc.subject
Stochastic volatility
dc.subject
Stochastic invariance
dc.title
Affine processes on positive semidefinite matrices
dc.type
Journal Article
ethz.journal.title
The Annals of Applied Probability
ethz.journal.volume
21
ethz.journal.issue
2
ethz.journal.abbreviated
Ann. Appl. Probab.
ethz.pages.start
397
ethz.pages.end
463
ethz.identifier.wos
ethz.identifier.nebis
000585235
ethz.publication.place
Cleveland, OH
ethz.publication.status
published
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03845 - Teichmann, Josef / Teichmann, Josef
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03845 - Teichmann, Josef / Teichmann, Josef
ethz.date.deposited
2017-06-09T10:57:22Z
ethz.source
ECIT
ethz.identifier.importid
imp59364e01655bf30831
ethz.ecitpid
pub:55674
ethz.eth
yes
ethz.availability
Metadata only
ethz.rosetta.installDate
2017-07-24T09:01:28Z
ethz.rosetta.lastUpdated
2022-03-28T09:44:29Z
ethz.rosetta.versionExported
true
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Journal Article [128813]