Authors: Schmitt, Thilo A.
Schäfer, Rudi
Dette, Holger
Guhr, Thomas
Title: Quantile correlations: Uncovering temporal dependencies in financial time series
Language (ISO): en
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.
Subject Headings: time series
stochastic process
empirical data
URI: http://hdl.handle.net/2003/33565
http://dx.doi.org/10.17877/DE290R-6675
Issue Date: 2014-08-08
Appears in Collections:Sonderforschungsbereich (SFB) 823

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