Estimating Forward-Looking Stock Correlations from Risk Factors
This study provides fully mathematically and economically feasible solutions to estimating implied correlation matrices in equity markets. Factor analysis is combined with option data to receive ex ante beliefs for cross-sectional correlations. Necessary conditions for implied correlation matrices t...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-05-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/10/10/1649 |