Estimating the instantaneous volatility and covariance of risky assets

Marc Chesney and Robert J. Elliott

Applied Stochastic Models and Data Analysis, 1995, vol. 11, issue 1, 51-58

Abstract: Using the Mihlstein approximation for solutions to stochastic differential equations and the stochastic calculus an estimate for the volatility is obtained. The estimate is also valid for stochastic, Markov, volatilities. If the process has jumps, these reduce the previous estimate. The instantaneous covariance of two risky assets is also calculated.

Date: 1995
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https://doi.org/10.1002/asm.3150110107

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmda:v:11:y:1995:i:1:p:51-58

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