Covolatility - Qiuyan Xu,Rituparna Sen
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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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| Autorius | Qiuyan Xu, Rituparna Sen |
|---|---|
| Leidėjas | LAP LAMBERT Academic Publishing |
| Išleidimo metai | 2013 |
| Viršelio tipas | Minkšti viršeliai |
| EAN | 9783659363368 |