Schafer, Rudi; Nilsson, Nils Fredrik; Guhr, Thomas - In: Quantitative Finance 10 (2010) 1, pp. 107-119
For financial risk management it is of vital interest to have good estimates for the correlations between the stocks. It has been found that the correlations obtained from historical data are covered by a considerable amount of noise, which leads to a substantial error in the estimation of the...