Whishart Quadratic Term Structure Models
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- Richter, Anja, 2014. "Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models," Stochastic Processes and their Applications, Elsevier, vol. 124(11), pages 3578-3611.
- Martino Grasselli & Claudio Tebaldi, 2008. "Solvable Affine Term Structure Models," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 135-153.
- Realdon, Marco, 2006. "Quadratic term structure models in discrete time," Finance Research Letters, Elsevier, vol. 3(4), pages 277-289, December.
- Filipova, Kameliya & Audrino, Francesco & De Giorgi, Enrico, 2014. "Monetary policy regimes: Implications for the yield curve and bond pricing," Journal of Financial Economics, Elsevier, vol. 113(3), pages 427-454.
- Stéphane Loisel, 2010.
"Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges,"
- Pauline Barrieu & Harry Bensusan & Nicole El Karoui & Caroline Hillairet & Stéphane Loisel & Claudia Ravanelli & Yahia Salhi, 2012. "Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges," Post-Print hal-00417800, HAL.
- repec:wsi:ijtafx:v:15:y:2012:i:05:n:s0219024912500331 is not listed on IDEAS
- Ming Lin & Changjiang Liu & Linlin Niu, 2013. "Bayesian Estimation of Wishart Autoregressive Stochastic Volatility Model," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
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