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Covolatility

AUTHOR Xu, Qiuyan; Sen, Rituparna; Xu Qiuyan et al.
PUBLISHER LAP Lambert Academic Publishing (03/08/2013)
PRODUCT TYPE Paperback (Paperback)

Description
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.
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Product Details
ISBN-13: 9783659363368
ISBN-10: 3659363367
Binding: Paperback or Softback (Trade Paperback (Us))
Content Language: English
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Page Count: 56
Carton Quantity: 140
Product Dimensions: 6.00 x 0.13 x 9.00 inches
Weight: 0.21 pound(s)
Country of Origin: US
Subject Information
BISAC Categories
Mathematics | Probability & Statistics - General
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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.
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Paperback