Continuous Time Wishart Process for Stochastic Risk
By Christian Gouriéroux. 2006
148 citations recorded by the source corpus.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/2349daa95695dc4a616f17758ff44de4746d03b2
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Manabu Asai
- Michael Mcaleer
- Yasuhiro Omori
- Siddhartha Chib
- Christian Gouriéroux
- Christian Pigorsch
- Robert Stelzer
- Jun Yu
Citations in the corpus
- A multivariate Ornstein-Uhlenbeck type stochastic volatility model (2009, methodology): “Among these, the Wishart model proposed by Gouriéroux (2006) and Gouriéroux, Jasiak, and Sufana (2009), is at least to our knowledge, the only model that also specifies the dynamics of the stochastic volatility process directly in the space of positive semidefinite matrices.”
- The structure of dynamic correlations in multivariate stochastic volatility models (2009, methodology): “1 General Scheme One of the most popular approaches for inference of MSV models is the Markov chain Monte Carlo (MCMC) method, including Gibbs sampling and the Metropolis-Hastings algorithm (see, for example, Jaquier et al. (1994), Kim et al.”
- Derivative Pricing With Wishart Multivariate Stochastic Volatility (2010, methodology): “It corresponds to the continuoustime WAR introduced by Bru (1991) and studied in Gourieroux, Jasiak, and Sufana (2009) and Gourieroux (2006) as a tool for modeling the dynamics of volatility matrices.”
- Multivariate Stochastic Volatility: A Review (2006, methodology): “By using the realized value of volatility, Gourieroux et al. (2004) estimated the parameters of the WAR(1) process using a two-step procedure based”
- Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function (2014, unknown): “For further discussion on the estimation strategies of Wishart-based models, see Gourieroux (2006).”
- Multivariate stochastic volatility (2009, methodology): “Gourieroux, Jasiak, and Sufana (2004) also introduced a Wishart autoregressive process of higher order.”