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C. Gouriéroux, J. Jasiak and R. Sufana, “The Wishart Autoregressive Process of Multivariate Stochastic Volatility,” Journal of Econometrics, Vol. 150, No. 2, 2009, pp. 167-181. doi:10.1016/j.jeconom.2008.12.016

has been cited by the following article:

• TITLE: Risk-Sensitive Asset Management under a Wishart Autoregressive Factor Model

  AUTHORS: Hiroaki Hata, Jun Sekine

  KEYWORDS: Risk-Sensitive Asset Management; Wishart Autoregressive Stochastic Factor; Stochastic Covariance; Stochastic Interest Rate; Stochastic Risk Premium; Riccati Differential Equation

  JOURNAL NAME: Journal of Mathematical Finance, Vol.3 No.1A, March 29, 2013

  ABSTRACT: The risk-sensitive asset management problem with a finite horizon is studied under a financial market model having a Wishart autoregressive stochastic factor, which is positive-definite symmetric matrix-valued. This financial market model has the following interesting features: 1) it describes the stochasticity of the market covariance structure, interest rates, and the risk premium of the risky assets; and 2) it admits the explicit representations of the solution to the risk-sensitive asset management problem.