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Covolatility - Qiuyan Xu,Rituparna Sen

angļu valoda
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 ... Pilns apraksts

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Aprašymas

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.

Vairāk informācijas

Autors Qiuyan Xu, Rituparna Sen
Izdevējs LAP LAMBERT Academic Publishing
Izlaides gads 2013
Vāka tips Mīkstais vāks
EAN 9783659363368
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36,65 € 56,38 €