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Dϋllmann, K., Kull, J. and Kunisch, M. (2008) Estimating Asset Correlations from Stock Prices or Default Rates—Which Method Is Superior? Deutsche Bundesbank Working Paper.

has been cited by the following article:

• TITLE: A Unified Stochastic Volatility—Stochastic Correlation Model

  AUTHORS: Xiang Lu, Gunter Meissner, Hong Sherwin

  KEYWORDS: Stochastic Volatility, Stochastic Correlation, Chan-Karolyi-Longstaff-Sanders (CKLS) Process, Constant Elasticity of Variance (CEV), Jacobi Process

  JOURNAL NAME: Journal of Mathematical Finance, Vol.10 No.4, November 25, 2020

  ABSTRACT: This paper has two main contributions. First, we build a simple but rigorous stochastic volatility—stochastic correlation model. Mean-reverting and locally stochastic with dependent Brownian motions, our model proves to fit both marginal and joint distributions of the option market implied volatility and correlation. Second, asset correlations are currently modeled exogenously and then ad hoc assigned to an asset price process such as the Geometric Brownian Motion (GBM). This is conceptually and mathematically unsatisfying. We apply our approach to build a unified asset price—asset correlation model, which outperforms the standard GBM significantly.