Calibration of factor models with equity data: parade of correlations

This paper describes the process of ML-estimating of the equity correlations which can be used as proxies for asset correlations. In a Gaussian framework the ML-estimators are given in closed form. On this basis the impact of the Lehman’s collapse on the dynamics of correlations is investigated: after the Lehman failure in September 2008 the rise in correlations took place across all economic sectors.

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Year of publication:	2012-01-30
Authors:	Baranovski, Alexander L.

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Baranovski, Alexander L. (2012): Calibration of factor models with equity data: parade of correlations.
Classification:	C10 - Econometric and Statistical Methods: General. General
Source:	BASE

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