Estimating Correlated Diffusions.

The paper derives and tests maximum likelihood parameter estimators for symmetrically correlated Weiner processes observed at discrete intervals. Such processes are arise when pricing and determining Value-at-Risk for portfolio derivatives. Cases of driftless and mean-reverting state variables are considered. The procedure is applied to jointly evolving credit qualities in a portfolio of bonds.

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Year of publication:	1999
Authors:	Jones, R.A.
Institutions:	Department of Economics, Simon Fraser University
Subject:	TESTS \| EVALUATION \| ECONOMIC MODELS \| BANKING

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Series:	Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	18 pages
Classification:	C30 - Econometric Methods: Multiple/Simultaneous Equation Models. General ; G10 - General Financial Markets. General ; G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005767745