Structural laplace transform and compound autoregressive models

Journal of Time Series Analysis

Volumn 27, Issue 4, 2006, Pages 477-503

  Darolles, Serge ^a,b   Gourieroux, Christian ^a,c   Jasiak, Joann ^a  

^a YORK UNIVERSITY   (Canada)

^b SOCIÉTÉ GÉNÉRALE   (France)

^c UNIVERSITY OF TORONTO   (Canada)

Author keywords

Affine term structure; Laplace transform; Nonlinear canonical analysis; Nonlinear dynamics; Value at risk; Wishart autoregressive process

Indexed keywords

EID: 33745302681     PISSN: 01439782     EISSN: 14679892     Source Type: Journal    
DOI: 10.1111/j.1467-9892.2006.00479.x     Document Type: Article

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