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A New Correlation Coefficient for Bivariate Time-Series Data

Erdem, Orhan - 2014

The correlation in time series has received considerable attention in literature. Its use has attained an important … role in the social sciences and finance. For example, pair trading in finance is concerned with the correlation between … stock prices, returns, etc. In general, Pearson's correlation coefficient is employed in these areas although it has many …

Persistent link: https://www.econbiz.de/10013059586

Moment Estimators for Autocorrelated Time Series and Their Application to Default Correlations

Frei, Christoph - 2018

In credit risk modelling, method-of-moment approaches are popular to estimate latent asset return correlations within and between rating buckets. However, the autocorrelation that is often present in time series of default rates leads to systematically too low estimations. We propose a new...

Persistent link: https://www.econbiz.de/10012934045

Modelling realized covariance matrices : a class of Hadamard exponential models

Bauwens, Luc; Otranto, Edoardo - 2020 - Prima edizione

Persistent link: https://www.econbiz.de/10012515717

Inference on the maximal rank of time-varying covariance matrices using high-frequency data

Reiß, Markus; Winkelmann, Lars - 2021

We study the rank of the instantaneous or spot covariance matrix Σ(t) of a multidimensional continuous semi-martingale X(t). Given highfrequency observations X(i=n), i = 0; : : : ;n, we test the null hypothesis rank (Σ(t)) ≤ r for all t against local alternatives where the average (r + 1)st...

Persistent link: https://www.econbiz.de/10012655380