Qiuyan Xu (4 results)

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Taschenbuch. Condition: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - 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.…

Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Sen RituparnaRituparna 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 .…

Taschenbuch. Condition: Neu. This item is printed on demand - Print on Demand Titel. Neuware -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.OmniScriptum SRL, Str. Armeneasca 28/1, office 1, 2012 Chisinau 56 pp. Englisch.…