Multivariate asset price dynamics with stochastic covariation

DOI10.1080/14697680903419693zbMATH Open1232.91723OpenAlexW1992203896MaRDI QIDQ2994859

Christos Ioannidis, Julian S. Williams

Publication date: 29 April 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903419693

zbMATH Keywords

asset pricingempirical financeapplied mathematical financeempirical time series analysis

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20)

Cites Work

• The pricing of options and corporate liabilities
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

Related Items (5)

A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous ⋮ Nonlinear bivariate comovements of asset prices: methodology, tests and applications ⋮ Modelling joint behaviour of asset prices using stochastic correlation ⋮ Title not available (Why is that?) ⋮ Asset Prices With Regime-Switching Variance Gamma Dynamics

Recommendations

• Title not available (Why is that?) 👍 👎
• The structure of dynamic correlations in multivariate stochastic volatility models 👍 👎
• Excess covariance and dynamic instability in a multi-asset model 👍 👎
• Modelling joint behaviour of asset prices using stochastic correlation 👍 👎
• Multivariate Time Series Models for Asset Prices 👍 👎
• Multivariate Stochastic Volatility 👍 👎
• ASSET PRICING IN DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM MODELS WITH INDETERMINACY 👍 👎
• Multivariate Stochastic Volatility Models with Correlated Errors 👍 👎
• Asset pricing with stochastic volatility 👍 👎
• Dynamic correlation multivariate stochastic volatility with latent factors 👍 👎

This page was built for publication: Multivariate asset price dynamics with stochastic covariation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2994859)