Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function

By J. D. da Fonseca, Martino Grasselli, F. Ielpo. 2014

61 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/30875a0ee103393e0ee8da1bb53144f057ab6ae7

Citations in the corpus

• Hedging (Co)Variance Risk with Variance Swaps (2011, unknown): “We refer to Da Fonseca et al. (2007) for further details on the methodology and on the financial interpretation of the estimated parameters.”
• Riding on the smiles (2011, unknown): “Another multi-asset model in the spirit of Da Fonseca et al. (2007b) and based on a matrix pure jump volatility process was developed by Barndorff-Nielsen and Stelzer (2011).”