Estimating Correlated Diffusions

Robert Jones

Discussion Papers from Department of Economics, Simon Fraser University

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.

Keywords: TESTS; EVALUATION; ECONOMIC MODELS; BANKING (search for similar items in EconPapers)
JEL-codes: C30 G10 G11 (search for similar items in EconPapers)
Pages: 18 pages
Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:sfu:sfudps:dp99-12

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