Baranovski, Alexander L. (2012): Calibration of factor models with equity data: parade of correlations.
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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.
|Item Type:||MPRA Paper|
|Original Title:||Calibration of factor models with equity data: parade of correlations|
|Keywords:||intra/inter asset correlations, maximum likelihood estimation, single risk factor model, normal mixture, VAR of equity portfolio|
|Subjects:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C10 - General|
|Depositing User:||Alexander L. Baranovski|
|Date Deposited:||30. Jan 2012 17:20|
|Last Modified:||12. Sep 2015 15:24|
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