Correlation estimation using components of Japanese candlesticks

DOI10.1080/14697688.2016.1157625zbMath1405.62148OpenAlexW2337042167MaRDI QIDQ4554230

No author found.

Publication date: 13 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10023/11901

zbMATH Keywords

correlationestimationBrownian motionjump diffusionsbivariate Brownian motionJapanese candlesticks

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Brownian motion (60J65)

Cites Work

• The asymptotic variance matrix of the sample correlation matrix
• Estimating variance from high, low and closing prices
• Estimating correlation from high, low, opening and closing prices
• A high-low based omnibus test for symmetry, the Lévy property, and other hypotheses on intraday returns
• A Hausman test for Brownian motion
• Simulation of Estimates Using the Empirical Characteristic Function
• The correlation of the maxima of correlated Brownian motions
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