International money and stock market contingent claims
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- Christian Gourieroux & Alain Monfort & Razvan Sufana, 2005. "International Money and Stock Market Contingent Claims," Working Papers 2005-41, Center for Research in Economics and Statistics.
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- Pegoraro, F. & Siegel, A. F. & Tiozzo Pezzoli, L., 2014. "Specification Analysis of International Treasury Yield Curve Factors," Working papers 490, Banque de France.
- Gourieroux, Christian & Sufana, Razvan, 2011. "Discrete time Wishart term structure models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 815-824, June.
- Gourieroux, C. & Monfort, A., 2013. "Linear-price term structure models," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 24-41.
- H. Bertholon & A. Monfort & F. Pegoraro, 2008.
"Econometric Asset Pricing Modelling,"
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- Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2007. "Econometric Asset Pricing Modelling," Working Papers 2007-18, Center for Research in Economics and Statistics.
- Bertholon, H. & Monfort, A. & Pegoraro, F., 2008. "Econometric Asset Pricing Modelling," Working papers 223, Banque de France.
- Alessandro Gnoatto & Martino Grasselli, 2011. "The explicit Laplace transform for the Wishart process," Papers 1107.2748, arXiv.org, revised Aug 2013.
- Chiarella, Carl & Da Fonseca, José & Grasselli, Martino, 2014. "Pricing range notes within Wishart affine models," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 193-203.
- Alessandro Gnoatto, 2012.
"The Wishart Short Rate Model,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1-24.
- Alessandro Gnoatto, 2012. "The Wishart short rate model," Papers 1203.5513, arXiv.org, revised May 2014.
- Monfort, Alain & Renne, Jean-Paul & Roussellet, Guillaume, 2015.
"A Quadratic Kalman Filter,"
Journal of Econometrics, Elsevier, vol. 187(1), pages 43-56.
- Monfort, A. & Renne, J.-P. & Roussellet, G., 2014. "A Quadratic Kalman Filter," Working papers 486, Banque de France.
- C. Gourieroux, 2006. "Continuous Time Wishart Process for Stochastic Risk," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 177-217.
- Branger, Nicole & Herold, Michael & Muck, Matthias, 2021. "International stochastic discount factors and covariance risk," Journal of Banking & Finance, Elsevier, vol. 123(C).
- Christa Cuchiero & Damir Filipovi'c & Eberhard Mayerhofer & Josef Teichmann, 2009. "Affine processes on positive semidefinite matrices," Papers 0910.0137, arXiv.org, revised Apr 2011.
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Keywords
Quadratic term structure Exchange rates Stochastic volatility model Wishart process Futures Forward contract;Statistics
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