Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function
2014 ◽
Vol 18
(3)
◽
Keyword(s):
AbstractThis paper provides the first estimation strategy for the Wishart Affine Stochastic Correlation (WASC) model. We provide elements showing that the use of empirical characteristic function-based estimates is advisable as this function is exponential affine in the WASC case. We use a GMM estimation strategy with a continuum of moment conditions based on the characteristic function. We present the estimation results obtained using a dataset of equity indexes. The WASC model captures most of the known stylized facts associated with financial markets, including leverage and asymmetric correlation effects.
2002 ◽
Vol 20
(2)
◽
pp. 198-212
◽
2003 ◽
Vol 87
(2)
◽
pp. 275-297
◽
2002 ◽
Vol 44
(3)
◽
pp. 319-335
◽