A square root process for modelling correlation / vorgelegt von Cathrin van Emmerich. [2009]
Content
- Acknowledgment
- Contents
- Introduction
- Model
- Observed characteristics of correlation
- Stochastically correlated Brownian motions
- Bounded mean reversion model
- Analytical Properties
- Maximum-Likelihood estimator
- Overview
- Estimating the integral of an Ornstein-Uhlenbeck process
- Fitting the stochastic correlation process
- Numerical tests
- Summary
- Application
- Conclusion
- Appendix
- Bibliography
- Index