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Modeling and Pricing of Covariance and Correlation Swaps for Financial Markets with Semi-Markov Volatilities
Modeling and Pricing of Covariance Correlation Swaps Financial Markets Semi-Markov Volatilities Pricing of Securities
2012/6/5
In this paper, we model financial markets with semi-Markov volatilities and price covarinace and correlation swaps for this markets. Numerical evaluations of vari- nace, volatility, covarinace and cor...
Time-lagged covariance estimator for i.i.d. Gaussian assets
Time-lagged covariance estimator i.i.d. Gaussian assets
2010/10/22
I apply the method of planar diagrammatic expansion to solve the problem of finding the mean spectral density of the non-Hermitian time-lagged covariance estimator for a system of i.i.d. Gaussian ran...
Estimating correlation and covariance matrices by weighting of market similarity
Weighted Correlation Estimation Covariance Estimation Time-dynamic Dependence
2010/10/20
We discuss a weighted estimation of correlation and covariance matrices from historical financial data. To this end, we introduce a weighting scheme that accounts for similarity of previous market co...
On the Estimation of Integrated Covariance Matrices of High Dimensional Diffusion Processes
High dimension high frequency integrated covariance matrix
2010/10/20
We consider the estimation of integrated covariance matrices of high dimensional diffusion processes by using high frequency data. We start by studying the most commonly used estimator, the realized ...
High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
Covariance Generalized synchronization method Market microstructure noise Quasi-Maximum Likelihood Estimator Refresh Time.
2014/3/13
This article proposes a consistent and efficient estimator of the high-frequency covariance (quadratic covariation) of two arbitrary assets,observed asynchronously with market microstructure noise. Th...