"Matrix exponential stochastic volatility with cross leverage."

Tsunehiro Ishihara, Yasuhiro Omori, Manabu Asai (2016)

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DOI: 10.1016/J.CSDA.2014.10.012

access: closed

type: Journal Article

metadata version: 2020-02-18

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Tsunehiro Ishihara, Yasuhiro Omori, Manabu Asai:
Matrix exponential stochastic volatility with cross leverage. Comput. Stat. Data Anal. 100: 331-350 (2016)

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