Estimation of Equicorrelated Diffusions from Incomplete Data

Robert Jones and Mohammad Zanganeh ()
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Mohammad Zanganeh: Simon Fraser University

Discussion Papers from Department of Economics, Simon Fraser University

Abstract: The paper derives maximum likelihood parameter estimators for symmetrically correlated Weiner processes observed at discrete intervals. Such processes arise when pricing and determining Value-at-Risk for portfolio derivatives. Cases of driftless and mean-reverting state variables are considered. The procedure is applicable to samples with missing data of any pattern and to high dimensional systems. The estimation procedure is illustrated using a sample of stock prices.

Keywords: Maximum likelihood; Equicorrelation; Correlated di usions; Wiener process; Missing data (search for similar items in EconPapers)
JEL-codes: C51 C58 G11 G21 (search for similar items in EconPapers)
Pages: 27
Date: 2011-10
New Economics Papers: this item is included in nep-ecm, nep-ore and nep-rmg
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