Michael A. Clayton

Michael A. Clayton Consulting, Inc.

President

Toronto, Ontario

Canada

  • Michael A. Clayton Consulting, Inc.

SCHOLARLY PAPERS

6

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1,193

SSRN CITATIONS

3

CROSSREF CITATIONS

1

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  • Michael A. Clayton Consulting, Inc.

Scholarly Papers (6)

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1.

Parameter Estimation from Overlapping Observations

Number of pages: 44 Posted: 16 May 2017 Last Revised: 12 Jul 2021
Michael A. Clayton
Michael A. Clayton Consulting, Inc.
Downloads 626 (74,677)
Citation 1

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Parameter estimation; overlapping observations

2.

Backtesting Volatility Assumptions using Overlapping Observations

Number of pages: 21 Posted: 18 Mar 2019 Last Revised: 26 Sep 2019
Michael A. Clayton
Michael A. Clayton Consulting, Inc.
Downloads 215 (243,894)
Citation 1

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CCR Backtesting; Overlapping Observations; Discriminatory Power

3.

Correlation Estimates from Asynchronously Observed Series

Number of pages: 50 Posted: 12 Nov 2018
Michael A. Clayton
Michael A. Clayton Consulting, Inc.
Downloads 144 (345,349)

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Parameter estimation; asynchronous observations

4.

Time-Series Heston Model Calibration Using a Trinomial Tree

Number of pages: 50 Posted: 28 Dec 2020
Michael A. Clayton
Michael A. Clayton Consulting, Inc.
Downloads 94 (471,365)

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Heston Model, Stochastic Volatility, Parameter estimation, Latent variables, Filtering, Trinomial tree

5.

Correlation Stress in a Historical VAR Setting

Number of pages: 22 Posted: 13 Sep 2016
Michael A. Clayton
Michael A. Clayton Consulting, Inc.
Downloads 89 (487,875)

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Value at Risk, Correlation

6.

The Calculation of Multivariate Normal Probabilities Using a Re-Summed Tetrachoric Series Approximation

Number of pages: 26 Posted: 12 Jul 2017
Michael A. Clayton
Michael A. Clayton Consulting, Inc.
Downloads 25 (839,348)

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Multivariate Normal Probabilities, Tetrachoric Series