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Weak Diffusion Limits of Dynamic Conditional Correlation Models

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https://hal-amu.archives-ouvertes.fr/hal-01590010
Contributor : Elisabeth Lhuillier <>
Submitted on : Tuesday, September 19, 2017 - 11:59:18 AM
Last modification on : Wednesday, August 5, 2020 - 3:08:46 AM

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Christian M. Hafner, Sébastien Laurent, Francesco Violante. Weak Diffusion Limits of Dynamic Conditional Correlation Models. Econometric Theory, Cambridge University Press (CUP), 2017, 33 (03), pp.691--716. ⟨hal-01590010⟩

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