Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity-Reference-Cited by-同舟云学术

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Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity

Published:2024-01-04 Issue:3-4 Volume:24 Page:451-464
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Pelagatti Matteo¹^ORCID,Sbrana Giacomo²

Affiliation:

1. Department of Economics, Management and Statistics, University of Milano-Bicocca, Via Bicocca degli Arcimboldi 8, Milan, 20126, Italy

2. Department of Information Systems, Supply Chain & Decision Making, NEOMA Business School, 1 Rue du Marechal Juin, Mont-Saint-Aignan, 76130, France

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2023.2278502

Reference37 articles.

1. Range-Based Estimation of Stochastic Volatility Models

2. Multivariate Stochastic Volatility: A Review

3. Multivariate GARCH models: a survey

4. On a Measure of Dependence Between two Random Variables

5. Generalized autoregressive conditional heteroskedasticity

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1. E-commerce and foreign direct investment: pioneering a new era of trade strategies;Humanities and Social Sciences Communications;2024-05-04

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