Calibration of factor models with equity data: parade of correlations
MPRA Paper(2012)
摘要
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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关键词
factor models,equity data,calibration,correlations
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