Title:

Estimating the Wishart Affine Stochastic Correlation Model Using the Empirical Characteristic Function

Authors:

José da Fonseca (Auckland U Technology)
Martino Grasselli (U Padova)
Florian Ielpo (U Paris I)

Journal:

Studies In Nonlinear Dynamics And Econometrics

Year:

2014

Volume:

18

Number:

3

Pages:

253-289

JEL codes:

C58 - Financial Econometrics
G11 - Portfolio Choice; Investment Decisions