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 |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
DP_2814_SFB823_Schmitt_Schäfer_Dette_Guhr.pdf | DNB | 3.85 MB | Adobe PDF | View/Open |
This item is protected by original copyright |
This item is protected by original copyright rightsstatements.org