Robust estimation of historical volatility and correlations in risk management

DOI10.1080/14697680802238467zbMath1171.91370OpenAlexW2153471935MaRDI QIDQ3182647

Alexander Tchernitser, Dmitri H. Rubisov

Publication date: 12 October 2009

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

Full work available at URL: https://doi.org/10.1080/14697680802238467

zbMATH Keywords

Monte Carlo methodsmodel calibrationstatistical methodspricing modelscorporate risk management

Mathematics Subject Classification ID

Economic time series analysis (91B84) Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• Computing the nearest correlation matrix--a problem from finance
• Robust Statistics
• Unnamed Item

This page was built for publication: Robust estimation of historical volatility and correlations in risk management