Back to Results
First PageMeta Content
Markov processes / Autoregressive conditional heteroskedasticity / Econometrics / Time series analysis / Stochastic volatility / Markov chain / Stochastic differential equation / Markov switching multifractal / Statistics / Markov models / Mathematical finance


Weak diffusion limits of dynamic conditional correlation models Christian M. Hafner, Sebastien Laurent and Francesco Violante CREATES Research Paper
Add to Reading List

Document Date: 2015-02-02 02:48:44

Open Document

File Size: 547,94 KB

Share Result on Facebook

Company

Monte Carlo / Renault / /

Country

Belgium / Denmark / /

/

Facility

Aarhus University / Aix-Marseille University / /

Holiday

Assumption / /

IndustryTerm

closed form solution / stochastic systems / theoretical finance / /

OperatingSystem

Aix / /

Organization

Danish Council for Independent Research / Danish National Research Foundation / Aarhus University / Aix-Marseille University / Center for Research / Aix-Marseille School of Economics / Department of Economics and Business Aarhus University Fuglesangs Allé / /

Person

Francesco Violante / Christian M. Hafner / Sebastien Laurent / Lazar / Alexander / /

/

Position

Rt / /

Technology

simulation / /

SocialTag