Implied basket correlation dynamics
Year of publication: |
2012
|
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Authors: | Härdle, Wolfgang Karl ; Silyakova, Elena |
Publisher: |
Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |
Subject: | Portfolio-Management | Korrelation | Risiko | Schätztheorie | Schätzung | Deutschland | correlation risk | dimension reduction | dispersion strategy | dynamic factor models | implied correlation |
Series: | SFB 649 Discussion Paper ; 2012-066 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 730393569 [GVK] hdl:10419/79606 [Handle] RePEc:hum:wpaper:sfb649dp2012-066 [RePEc] |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C32 - Time-Series Models ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; G15 - International Financial Markets ; G17 - Financial Forecasting |
Source: |
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