Estimating correlation from high, low, opening and closing prices

DOI10.1214/07-AAP460zbMath1133.62090arXiv0804.0162MaRDI QIDQ2426612

L. C. G. Rogers, Fanyin Zhou

Publication date: 23 April 2008

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0804.0162

zbMATH Keywords

correlationestimationmaximum

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Brownian motion (60J65)

Related Items (6)

Stochastic volatility models including open, close, high and low prices ⋮ Correlation estimation using components of Japanese candlesticks ⋮ Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing ⋮ A Hausman test for Brownian motion ⋮ The correlation of the maxima of correlated Brownian motions ⋮ AN APPLICATION OF THE METHOD OF MOMENTS TO RANGE-BASED VOLATILITY ESTIMATION USING DAILY HIGH, LOW, OPENING, AND CLOSING (HLOC) PRICES

Cites Work

• Unnamed Item
• Estimating variance from high, low and closing prices
• A Continuity Correction for Discrete Barrier Options
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• The correlation of the maxima of correlated Brownian motions
• A Tale of Two Time Scales

This page was built for publication: Estimating correlation from high, low, opening and closing prices