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Estimating Correlated Diffusions

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Author Info
Jones, R.A.

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Abstract

The paper derives and tests maximum likelihood parameter estimators for symmetrically correlated Weiner processes observed at discrete intervals. Such processes are arise when pricing and determining Value-at-Risk for portfolio derivatives. Cases of driftless and mean-reverting state variables are considered. The procedure is applied to jointly evolving credit qualities in a portfolio of bonds.

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Publisher Info
Paper provided by Department of Economics, Simon Fraser University in its series Discussion Papers with number dp99-12.

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Length: 18 pages
Date of creation: 1999
Date of revision:
Handle: RePEc:sfu:sfudps:dp99-12

Contact details of provider:
Postal: Department of Economics, Simon Fraser University, 8888 University Drive, Burnaby, BC, V5A 1S6, Canada
Phone: (778)782-3508
Fax: (778)782-5944
Web page: http://www.econ.sfu.ca/
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Postal: Working Paper Coordinator, Department of Economics, Simon Fraser University, 8888 University Drive, Burnaby, BC, V5A 1S6, Canada
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Web: http://www.econ.sfu.ca/Research_and_Seminars/Publications/index.html

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Related research
Keywords: TESTS EVALUATION ECONOMIC MODELS BANKING

Find related papers by JEL classification:
C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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This page was last updated on 2008-11-17.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.