-
Anglický jazyk
Covolatility
Autor: Rituparna Sen
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... Viac o knihe
Na objednávku
33.30 €
bežná cena: 37.00 €
O knihe
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.
- Vydavateľstvo: LAP LAMBERT Academic Publishing
- Rok vydania: 2013
- Formát: Paperback
- Rozmer: 220 x 150 mm
- Jazyk: Anglický jazyk
- ISBN: 9783659363368
