Quantile correlations: Uncovering temporal dependencies in financial time series
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Date
2014-08-08
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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.
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Keywords
time series, stochastic process, empirical data