Schmitt, Thilo A.Schäfer, RudiDette, HolgerGuhr, Thomas2014-08-082014-08-082014-08-08http://hdl.handle.net/2003/3356510.17877/DE290R-6675We 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.enDiscussion Paper / SFB 823;28/2014time seriesstochastic processempirical data310330620working paper