Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Schmitt, Thilo A. | - |
dc.contributor.author | Schäfer, Rudi | - |
dc.contributor.author | Dette, Holger | - |
dc.contributor.author | Guhr, Thomas | - |
dc.date.accessioned | 2014-08-08T07:20:59Z | - |
dc.date.available | 2014-08-08T07:20:59Z | - |
dc.date.issued | 2014-08-08 | - |
dc.identifier.uri | http://hdl.handle.net/2003/33565 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-6675 | - |
dc.description.abstract | We conduct an empirical study using the quantile-based correlation function to uncover the temporal dependencies in financial time series. The study uses intraday data for the S&P 500 stocks from the New York Stock Exchange. After establishing an empirical overview we compare the quantile-based correlation function to stochastic processes from the GARCH family and find striking differences. This motivates us to propose the quantile-based correlation function as a powerful tool to assess the agreements between stochastic processes and empirical data. | en |
dc.language.iso | en | de |
dc.relation.ispartofseries | Discussion Paper / SFB 823;28/2014 | en |
dc.subject | time series | en |
dc.subject | stochastic process | en |
dc.subject | empirical data | en |
dc.subject.ddc | 310 | - |
dc.subject.ddc | 330 | - |
dc.subject.ddc | 620 | - |
dc.title | Quantile correlations: Uncovering temporal dependencies in financial time series | en |
dc.type | Text | de |
dc.type.publicationtype | workingPaper | de |
dcterms.accessRights | open access | - |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_2814_SFB823_Schmitt_Schäfer_Dette_Guhr.pdf | DNB | 3.85 MB | Adobe PDF | View/Open |
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