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Multivariate Jacobi process with application to smooth transitions
Citations
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Cited by:
- Almut Veraart & Luitgard Veraart, 2012.
"Stochastic volatility and stochastic leverage,"
Annals of Finance, Springer, vol. 8(2), pages 205-233, May.
- Almut E. D. Veraart & Luitgard A. M. Veraart, 2009. "Stochastic volatility and stochastic leverage," CREATES Research Papers 2009-20, Department of Economics and Business Economics, Aarhus University.
- Damir Filipovi'c & Martin Larsson, 2017. "Polynomial Jump-Diffusion Models," Papers 1711.08043, arXiv.org, revised Jul 2019.
- Christa Cuchiero, 2017. "Polynomial processes in stochastic portfolio theory," Papers 1705.03647, arXiv.org.
- Christian Bontemps & Nour Meddahi, 2012.
"Testing distributional assumptions: A GMM aproach,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 978-1012, September.
- N. Meddahi & C. Bontemps, 2004. "Testing Distributional Assumptions: A GMM Approach," Econometric Society 2004 North American Winter Meetings 487, Econometric Society.
- Christian Bontemps & Nour Meddahi, 2012. "Testing distributional assumptions: A GMM aproach," Post-Print hal-02875123, HAL.
- Bontemps, Christian & Meddahi, Nour, 2007. "Testing Distributional Assumptions: A GMM Approach," IDEI Working Papers 486, Institut d'Économie Industrielle (IDEI), Toulouse.
- Ardian, Aldin & Kumral, Mustafa, 2020. "Incorporating stochastic correlations into mining project evaluation using the Jacobi process," Resources Policy, Elsevier, vol. 65(C).
- Sullivan Hu'e & Christophe Hurlin & Yang Lu, 2024. "Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials," Papers 2405.02012, arXiv.org, revised May 2024.
- Damien Ackerer & Damir Filipovi'c, 2016. "Linear Credit Risk Models," Papers 1605.07419, arXiv.org, revised Jul 2019.
- Damir Filipović & Martin Larsson, 2016. "Polynomial diffusions and applications in finance," Finance and Stochastics, Springer, vol. 20(4), pages 931-972, October.
- Thomas Lagner & Dodozu Knyphausen‐Aufseß, 2012. "Rating Agencies as Gatekeepers to the Capital Market: Practical Implications of 40 Years of Research," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 21(3), pages 157-202, August.
- Julie Lyng Forman & Michael Sørensen, 2008.
"The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes,"
Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 35(3), pages 438-465, September.
- Michael Sørensen & Julie Lyng Forman, 2007. "The Pearson diffusions: A class of statistically tractable diffusion processes," CREATES Research Papers 2007-28, Department of Economics and Business Economics, Aarhus University.
- Damien Ackerer & Damir Filipović & Sergio Pulido, 2018. "The Jacobi stochastic volatility model," Finance and Stochastics, Springer, vol. 22(3), pages 667-700, July.
- Abdelkoddousse Ahdida & Aur'elien Alfonsi, 2011. "A Mean-Reverting SDE on Correlation matrices," Papers 1108.5264, arXiv.org, revised Feb 2012.
- Nicolas Bouleau & Christophe Chorro, 2015. "The impact of randomness on the distribution of wealth: Some economic aspects of the Wright-Fisher diffusion process," Post-Print halshs-01162452, HAL.
- Damir Filipovic & Damien Ackerer & Sergio Pulido, 2018. "The Jacobi Stochastic Volatility Model," Post-Print hal-01338330, HAL.
- Mar'ia Fernanda del Carmen Agoitia Hurtado & Thorsten Schmidt, 2018. "Time-inhomogeneous polynomial processes," Papers 1806.03887, arXiv.org.
- Giacomo Aletti & Irene Crimaldi, 2021. "The Rescaled Pólya Urn and the Wright—Fisher Process with Mutation," Mathematics, MDPI, vol. 9(22), pages 1-11, November.
- Christian Gouriéroux & Eric Renault & Pascale Valery, 2007. "Diffusion Processes with Polynomial Eigenfunctions," Annals of Economics and Statistics, GENES, issue 85, pages 115-130.
- Daniel Fernholz & Ioannis Karatzas, 2010. "On optimal arbitrage," Papers 1010.4987, arXiv.org.
- Damien Ackerer & Damir Filipović, 2020. "Linear credit risk models," Finance and Stochastics, Springer, vol. 24(1), pages 169-214, January.
- Bouleau, Nicolas & Chorro, Christophe, 2017. "The impact of randomness on the distribution of wealth: Some economic aspects of the Wright–Fisher diffusion process," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 479(C), pages 379-395.
- Christa Cuchiero & Martin Keller-Ressel & Josef Teichmann, 2012. "Polynomial processes and their applications to mathematical finance," Finance and Stochastics, Springer, vol. 16(4), pages 711-740, October.
- Wu, Ximing, 2010. "Exponential Series Estimator of multivariate densities," Journal of Econometrics, Elsevier, vol. 156(2), pages 354-366, June.
- Larsson, Martin & Pulido, Sergio, 2017. "Polynomial diffusions on compact quadric sets," Stochastic Processes and their Applications, Elsevier, vol. 127(3), pages 901-926.
- Cuchiero, Christa, 2019. "Polynomial processes in stochastic portfolio theory," Stochastic Processes and their Applications, Elsevier, vol. 129(5), pages 1829-1872.
- David Itkin & Martin Larsson, 2021. "Open Markets and Hybrid Jacobi Processes," Papers 2110.14046, arXiv.org, revised Mar 2024.
- Nicolas Bouleau & Christophe Chorro, 2017. "The impact of randomness on the distribution of wealth: Some economic aspects of the Wright-Fisher diffusion process," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01138383, HAL.
- Nicolas Bouleau & Christophe Chorro, 2015. "The impact of randomness on the distribution of wealth: Some economic aspects of the Wright-Fisher diffusion process," Documents de travail du Centre d'Economie de la Sorbonne 15024r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jul 2015.
- Suhan Altay & Katia Colaneri & Zehra Eksi, 2017. "Pairs Trading under Drift Uncertainty and Risk Penalization," Papers 1704.06697, arXiv.org, revised Sep 2018.
- Ahdida, Abdelkoddousse & Alfonsi, Aurélien, 2013. "A mean-reverting SDE on correlation matrices," Stochastic Processes and their Applications, Elsevier, vol. 123(4), pages 1472-1520.
- Abdelkoddousse Ahdida & Aurélien Alfonsi, 2013. "A Mean-Reverting SDE on Correlation matrices," Post-Print hal-00617111, HAL.
- Nicolas Bouleau & Christophe Chorro, 2017. "The impact of randomness on the distribution of wealth: Some economic aspects of the Wright-Fisher diffusion process," Post-Print hal-01138383, HAL.