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Covolatility

Autor Sen Rituparna, Xu Qiuyan
en Limba Engleză Paperback – 7 mar 2013
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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Specificații

ISBN-13: 9783659363368
ISBN-10: 3659363367
Pagini: 56
Dimensiuni: 152 x 229 x 3 mm
Greutate: 0.1 kg
Editura: LAP Lambert Academic Publishing AG & Co. KG
Colecția LAP Lambert Academic Publishing

Notă biografică

Rituparna Sen is an Assistant Professor at the Indian Statistical Institute. Formerly she was an Assistant Professor at University of California, Davis. She obtained her PhD in statistics at University of Chicago.Qiuyan Xu completed her PhD in statistics at UC, Davis and currently works at Traverler's Insurance.