Estimating asset correlations from stock prices or default rates -- which method is superior?
DOI10.1016/J.JEDC.2010.06.003zbMATH Open1201.91225OpenAlexW2125262335MaRDI QIDQ609846FDOQ609846
Authors: Klaus Duellmann, Jonathan Küll, Michael Kunisch 
Publication date: 1 December 2010
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2010.06.003
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Cites Work
Cited In (8)
- Empirical analysis of the average asset correlation for real estate investment trusts
- VaR-implied tail-correlation matrices
- Comparison of stochastic correlation models
- Nonparametric drift estimation from diffusions with correlated Brownian motions
- From equity to default correlation with taxes
- Confidence intervals for asset correlations in the asymptotic single risk factor model
- Estimation of correlations in portfolio credit risk models based on noisy security prices
- CORRELATION ESTIMATION IN HYBRID SYSTEMS
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