Continuous time Wishart process for stochastic risk

Econometric Reviews

Volumn 25, Issue 2-3, 2006, Pages 177-217

  Gourieroux, C ^a,b  

^a CREST   (France)

^b UNIVERSITY OF TORONTO   (Canada)

Author keywords

Credit risk; Factor; Quadratic term structure; Stochastic volatility; Wishart process

Indexed keywords

EID: 33747805037     PISSN: 07474938     EISSN: 15324168     Source Type: Journal    
DOI: 10.1080/07474930600713234     Document Type: Article

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