Weak Diffusion Limits of Dynamic Conditional Correlation Models

Christian Hafner, Sébastien Laurent and Francesco Violante ()

No 2017014, LIDAM Reprints ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

Date: 2017-01-01
Note: In : Econometric Theory, vol. 33, p. 691-716 (2017)
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Citations: View citations in EconPapers (5)

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Related works:
Journal Article: WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS (2017)
Working Paper: Weak diffusion limits of dynamic conditional correlation models (2017)
Working Paper: Weak Diffusion Limits of Dynamic Conditional Correlation Models (2017)
Working Paper: Weak Diffusion Limits of Dynamic Conditional Correlation Models (2016)
Working Paper: Weak Diffusion Limits of Dynamic Conditional Correlation Models (2016)
Working Paper: Weak diffusion limits of dynamic conditional correlation models (2015)
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