Multivariate Jacobi process with application to smooth transitions

By Christian Gouriéroux, Joann Jasiak. 2006

72 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ed706405089dd8c5cc7edaf96f1079d2ab7e301d

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. J. Forman
2. Michael SØrensen
3. C. Bontemps
4. Nour Meddahi
5. Andrew J. Patton
6. Tim Bollerslev
7. Asger Lunde
8. Kevin Sheppard

In Finance

1. J. Forman
2. Michael SØrensen
3. C. Bontemps
4. Nour Meddahi
5. Andrew J. Patton
6. N. Shephard
7. Ole E. Barndorff-Nielsen
8. Asger Lunde

Citations in the corpus

• Testing Distributional Assumptions: A GMM Approach (2007, methodology): “This connection was used by Hansen and Scheinkman (1995), Aı̈t-Sahalia (1996) and by Conley, Hansen, Luttmer and Scheinkman (1997), in order to model the short term interest rate whose marginal distribution are among the class of the generalized Pearson’s distributions of Cobb, Koppstein and Chen (1”
• The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes (2008, background): “Multivariate Jacobi diffusions were considered by Gourieroux & Jasiak (2006).”