Comparison of Stochastic Correlation Models


Cite item

Full Text

Open Access Open Access
Restricted Access Access granted
Restricted Access Subscription Access

Abstract

Five models of stochastic correlation are compared on the basis of the generated associations of Wiener processes. Associations are characterised by the copulas and their K-functions. A confidence domain for the randomly changing K-functions is build on the basis of simulated Wiener process pairs. The models are ordered by the magnitude of the domains of confidence bounds. Larger confidence domains or higher bounds represent higher correlation risk when the models are applied in mathematical finance.

About the authors

L. Márkus

Eötvös Loránd University, Department of Probability Theory and Statistics

Author for correspondence.
Email: markus@cs.elte.hu
Hungary, Budapest

A. Kumar

Eötvös Loránd University, Department of Probability Theory and Statistics

Email: markus@cs.elte.hu
Hungary, Budapest

Supplementary files

Supplementary Files
Action
1. JATS XML

Copyright (c) 2019 Springer Science+Business Media, LLC, part of Springer Nature