Covolatility

Covolatility

EnglishPaperback / softbackPrint on demand
Sen, Rituparna
LAP Lambert Academic Publishing
EAN: 9783659363368
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Detailed information

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.
EAN 9783659363368
ISBN 3659363367
Binding Paperback / softback
Publisher LAP Lambert Academic Publishing
Publication date March 8, 2013
Pages 56
Language English
Dimensions 229 x 152 x 3
Readership General
Authors Sen, Rituparna; Xu, Qiuyan
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