Covolatility

The variance-covariance matrix for multiple stochastic processes is of great interest in most financial applications, such as portfolio selection and risk management. One needs to estimate the covariance of a pair of security prices when the processes are observed at random times with noise. We propose a new estimator for this covariance, called the random lead-lag estimator, derive its properties and compare it to some other estimators that have been proposed recently.

Autorentext

Rituparna Sen is an Assistant Professor at the Indian Statistical Institute. Formerly she was an Assistant Professor at University of California, Davis. She obtained her PhD in statistics at University of Chicago.Qiuyan Xu completed her PhD in statistics at UC, Davis and currently works at Traverler's Insurance.