Stock Image

Estimating correlation using intraday price data in financial markets

Valentin Popov

Published by Shaker Verlag Nov 2013, 2013
ISBN 10: 3844023224 / ISBN 13: 9783844023220
New / Buch / Quantity Available: 2
From Agrios-Buch (Bergisch Gladbach, Germany)
Available From More Booksellers
View all  copies of this book
Add to basket
List Price:
Price: £ 45.68
Convert Currency
Shipping: £ 15.25
From Germany to U.S.A.
Destination, Rates & Speeds

Save for Later

About the Book

Bibliographic Details

Title: Estimating correlation using intraday price ...

Publisher: Shaker Verlag Nov 2013

Publication Date: 2013

Binding: Buch

Book Condition: Neu


Neuware - The focus of the present work is set on correlation in the setting of financial markets. More precisely, the chief interest lies in efficient estimation of the correlation between returns of asset pairs, which is achieved by using additional information on the price processes. The meaning of additional information is twofold - on the one side it means information on daily highs and lows in addition to daily open and close prices, on the other side it refers to high-frequency data. Building on results in Rogers and Zhou (2008), we introduce a new construct - Balanced Excess Return (BER), which is the sum of the wicks (more precisely the balance of the wicks since the upper and the lower wick have a different sign) in the classical Japanese candlestick illustration of the open, high, low, close (OHLC) data. In the setting of a Brownian Motion (BM) model we show that the correlation of the BERs is intimately connected to the process correlation, which indicates their importance for the estimation of the latter. Using the BERs we derive efficient and robust correlation estimators. The improvement of the estimators suggested in this work over the ones given in Rogers and Zhou (2008) is largely due to the fact that the latter (implicitly) assume that the process variances are known. In order to shed some light on the pitfalls of this seemingly innocent assumption we set the stage by discussing correlation estimation in the normal model. After introducing the baseline BM model we analyse modern approaches in correlation estimation. We distinguish between two cases. In the first one only daily OHLC prices are available, whereas the second one deals with highfrequency data. We conduct extensive simulation studies to check the efficiency and robustness of the suggested estimators. In particular we study the effects of jumps and excess kurtosis as exhibited by Merton Jump diffusions, Symmetric Variance Gamma and Normal Inverse Gaussian processes as well as the effects of dependent increments as exhibited by Ornstein-Uhlenbeck processes. The practical importance of the suggested estimators is emphasized in an empirical study on their statistical properties and, subsequently, in an application in the portfolio selection field. 259 pp. Englisch. Bookseller Inventory # 9783844023220

Bookseller & Payment Information

Payment Methods

This bookseller accepts the following methods of payment:

  • American Express
  • Bank/Wire Transfer
  • Check
  • Invoice
  • MasterCard
  • PayPal
  • Visa

[Search this Seller's Books]

[List this Seller's Books]

[Ask Bookseller a Question]

Bookseller: Agrios-Buch
Address: Bergisch Gladbach, Germany

AbeBooks Bookseller Since: 11 January 2012
Bookseller Rating: 5-star rating

Terms of Sale:

Allgemeine Geschäftsbedingungen (

der Firma Agrios Buch- und Medienversand UG e.K. ,Geschäftsführer Ludwig Meier, De-Gasperi-Str. 8, 51469 Bergisch Gladbach nachstehend als Verkäufer bezeichnet.

§ 1 Allgemeines, Begriffsbestimmungen

(1) Der Verkäufer bietet unter dem Nutzernamen Agrios Buch unter der Plattform insbesondere Bücher an. Die folgenden Allgemeinen Geschäftsbedingungen (AGB) gelten für die Geschäftsbeziehung zwischen dem Verkäufer und dem Kunden in ihrer zum Ze...

[More Information]

Shipping Terms:

Der Versand ins Ausland findet IMMER mit DHL statt. Auch nach Österreich verschicken wir nur mit DHL! Daher Standardversand == Luftpost!

Detailed Seller Information