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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.
- Format: Pocket/Paperback
- ISBN: 9783659363368
- Språk: Engelska
- Antal sidor: 56
- Utgivningsdatum: 2013-03-08
- Förlag: LAP Lambert Academic Publishing