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Covolatility - Qiuyan Xu,Rituparna Sen

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2013-03-08
36,65 € 56,38 €

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The variance-covariance matrix for multiple stochastic processes is of great interest in most financial applications, such as portfolio selection and risk management. One needs to estimate the covariance of a pair of security prices when the processes are observed at random times with noise. We propose a new estimator for this covariance, called the random lead-lag estimator, derive its properties and compa ... Visas aprašymas

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The variance-covariance matrix for multiple stochastic processes is of great interest in most financial applications, such as portfolio selection and risk management. One needs to estimate the covariance of a pair of security prices when the processes are observed at random times with noise. We propose a new estimator for this covariance, called the random lead-lag estimator, derive its properties and compare it to some other estimators that have been proposed recently.

Daugiau informacijos

Autorius Qiuyan Xu, Rituparna Sen
Leidėjas LAP LAMBERT Academic Publishing
Išleidimo metai 2013
Viršelio tipas Minkšti viršeliai
EAN 9783659363368
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36,65 € 56,38 €