Estimating correlation using intraday price data in financial markets:
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| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Aachen
Shaker
2013
|
| Series: | Berichte aus der Statistik
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XII, 243 S. graph. Darst. |
| ISBN: | 9783844023220 |
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MARC
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| 245 | 1 | 0 | |a Estimating correlation using intraday price data in financial markets |c Valentin Popov |
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Record in the Search Index
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|---|---|
| adam_text | CONTENTS
1 INTRODUCTION 1
1.1 MULTIVARIATE DISTRIBUTIONS 1
1.2 CORRELATION: DEFINITION AND PROPERTIES 3
1.3 HISTORICAL BACKGROUND 5
1.4 SOME APPLICATIONS OF CORRELATIONS IN FINANCE 7
1.5 CORRELATION PITFALLS 8
1.6 EXTENSIONS * 10
2 MAXIMUM LIKELIHOOD ESTIMATION OF CORRELATION IN THE NORMAL MODEL 15
2.1 MLE WITH ALL PARAMETERS UNKNOWN 16
2.2 MLE WITH KNOWN MEANS 19
2.3 MLE WITH KNOWN MEANS AND VARIANCES 19
2.3.1 COMPARISON OF THE INTRODUCED CORRELATION ESTIMATORS WITH EM
PHASIS ON THE SMALL SAMPLE BEHAVIOUR 27
3 CORRELATION ESTIMATION BASED ON DAILY OHLC DATA 33
3.1 THE FRAMEWORK OF BROWNIAN MOTION 34
3.1.1 DEFINITION AND PROPERTIES 34
3.1.2 CLOSE RETURNS, RANGE AND BALANCED EXCESS RETURNS 39
3.2 CORRELATION ESTIMATION USING DAILY OHLC DATA 48
3.2.1 VOLATILITY ESTIMATION USING DAILY OHLC DATA 48
3.2.2 CORRELATION ESTIMATION BASED ON BRANDT-DIEBOLD APPROACH . . 54
3.2.3 CORRELATION ESTIMATION FOLLOWING ROGERS-ZHOU APPROACH .... 58
3.2.4 CORRELATION ESTIMATION BASED ON BOTH APPROACHES 68
3.3 SIMULATION STUDY 70
3.3.1 DISCUSSION ON THE WEIGHTS OF ROGERS-ZHOU-BASED ESTIMATORS . . 70
I
HTTP://D-NB.INFO/1042913293
3.3.2 COMPARISON OF THE CORRELATION ESTIMATORS UNDER THE BM AS
SUMPTION 73
3.3.3 ROBUSTNESS CHECK 79
4 CORRELATION ESTIMATION BASED ON HIGH-FREQUENCY DATA 99
4.1 HIGH-FREQUENCY DATA 99
4.1.1 MICROSTRUCTURE NOISE 101
4.1.2 SAMPLING SCHEMES 103
4.1.3 PRICE MODELS IN THE CONTEXT OF HIGH-FREQUENCY DATA 105
4.2 VOLATILITY ESTIMATORS 108
4.2.1 REALIZED VOLATILITY 109
4.2.2 R.EALIZED RANGE 114
4.3 COVARIANCE/CORRELATION ESTIMATORS 117
4.3.1 R.EALIZED COVARIANCE 118
4.3.2 REALIZED CO-RANGE 122
4.3.3 BER-BASED CORRELATION ESTIMATORS 125
4.3.4 SIMULATION STUDY WITH HIGH-FREQUENCY DATA 129
5 EMPIRICAL STUDY ON PROPERTIES OF THE BER-BASED ESTIMATOR 139
*5.1 DATA 140
5.2 SET UP OF THE STUDY 142
5.3 RESULTS AND DISCUSSION 143
5.3.1 MEAN COMPARISON 143
*5.3.2 VARIANCE COMPARISON 145
6 APPLICATION OF BER-BASED CORRELATION ESTIMATORS IN PORTFOLIO SELEC
TION 147
6.1 THEORETICAL BACKGROUND 147
6.1.1 NOTATION AND ASSUMPTIONS 147
6.1.2 PORTFOLIO SELECTION WITHOUT A RISKFREE ASSET 150
6.2 COMPETING ESTIMATORS 153
6.2.1 SIMPLE PORTFOLIO STRATEGIES 153
6.2.2 CLASSICAL AND OHLC-BASED ESTIMATORS OF THE RETURNS VCM . * 156
6.3 EVALUATION CRITERIA 163
6.4 DATA 164
II
6.5 SETUP OF THE EMPIRICAL STUDY 165
6.6 RESULTS 167
7 CONCLUSION 175
A THEORETICAL RESULTS 179
A.L ROOTS OF A CUBIC EQUATION 179
A.2 MEAN AND VARIANCE OF THE R-ZERO ESTIMATOR 180
A.3 ASYMPTOTIC DISTRIBUTION OF THE ML ESTIMATOR WITH KNOWN MEANS . . .
181
A.4 CORRELATION OF THE INCREMENTS OF CONSTRUCTED BMS 182
A.5 CONSTRUCTION OF A BIVARIATE NORMAL DISTRIBUTION 183
A.6 MOMENTS OF MULTIVARIATE LOG-NORMAL RVS 183
A.7 GENERATING FUNCTION OF HIGH. LOW AND CLOSE 184
A.8 COVARIANCES, VARIANCES AND CORRELATIONS OF (PAIRS BETWEEN) CR, RANGE
AND BER AND THEIR SQUARES 185
A.9 DERIVATION OF THE MEANS OF CROSS PRODUCTS IN A BIVARIATE BM 186
A. 10 VARIANCE OF CERTAIN VOLATILITY ESTIMATES BASED ON DAILY OHLC DATA
. . 187
A.11 BOUNDS OF BRANDT-DIEBOLD-PARKINSON S ESTIMATOR 188
A.12 ROGERS-ZHOU MATRIX 188
A.13 UNBIASEDNESS AND CONSISTENCY OF THE REALIZED VARIANCE 189
A. 14 UNBIASEDNESS AND CONSISTENCY OF THE REALIZED COVARIANCE 189
A.15 SOLUTION OF THE OPTIMIZATION PROBLEM IN (6.7) 190
A.16 SOLUTION OF THE OPTIMIZATION PROBLEM IN (6.11) 191
A.17 GARCH(L.L) MODEL 191
B SIMULATION STUDY - DAILY OHLC DATA 193
C SIMULATION STUDY - HIGH-FREQUENCY DATA 205
D EMPIRICAL STUDY - THEORETICAL PROPERTIES OF THE BER-BASED ESTIMA
TOR 213
E EMPIRICAL STUDY - PORTFOLIO SELECTION 225
III
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| any_adam_object | 1 |
| author | Popov, Valentin 1982- |
| author_GND | (DE-588)1044693150 |
| author_facet | Popov, Valentin 1982- |
| author_role | aut |
| author_sort | Popov, Valentin 1982- |
| author_variant | v p vp |
| building | Verbundindex |
| bvnumber | BV041579864 |
| classification_rvk | QH 234 |
| ctrlnum | (OCoLC)864627334 (DE-599)DNB1042913293 |
| dewey-full | 332.6015195 510 |
| dewey-hundreds | 300 - Social sciences 500 - Natural sciences and mathematics |
| dewey-ones | 332 - Financial economics 510 - Mathematics |
| dewey-raw | 332.6015195 510 |
| dewey-search | 332.6015195 510 |
| dewey-sort | 3332.6015195 |
| dewey-tens | 330 - Economics 510 - Mathematics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Thesis Book |
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| id | DE-604.BV041579864 |
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| indexdate | 2024-07-10T01:00:04Z |
| institution | BVB |
| isbn | 9783844023220 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-027025143 |
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| physical | XII, 243 S. graph. Darst. |
| publishDate | 2013 |
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| publisher | Shaker |
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| series2 | Berichte aus der Statistik |
| spelling | Popov, Valentin 1982- Verfasser (DE-588)1044693150 aut Estimating correlation using intraday price data in financial markets Valentin Popov Aachen Shaker 2013 XII, 243 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Berichte aus der Statistik Zugl.: Saarbrücken, Univ., Diss., 2013 Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Schätzung (DE-588)4193791-0 gnd rswk-swf Korrelation (DE-588)4165343-9 gnd rswk-swf Wertpapierkurs (DE-588)4065681-0 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Portfolio Selection (DE-588)4046834-3 s Wertpapierkurs (DE-588)4065681-0 s Korrelation (DE-588)4165343-9 s Schätzung (DE-588)4193791-0 s DE-604 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027025143&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Popov, Valentin 1982- Estimating correlation using intraday price data in financial markets Portfolio Selection (DE-588)4046834-3 gnd Schätzung (DE-588)4193791-0 gnd Korrelation (DE-588)4165343-9 gnd Wertpapierkurs (DE-588)4065681-0 gnd |
| subject_GND | (DE-588)4046834-3 (DE-588)4193791-0 (DE-588)4165343-9 (DE-588)4065681-0 (DE-588)4113937-9 |
| title | Estimating correlation using intraday price data in financial markets |
| title_auth | Estimating correlation using intraday price data in financial markets |
| title_exact_search | Estimating correlation using intraday price data in financial markets |
| title_full | Estimating correlation using intraday price data in financial markets Valentin Popov |
| title_fullStr | Estimating correlation using intraday price data in financial markets Valentin Popov |
| title_full_unstemmed | Estimating correlation using intraday price data in financial markets Valentin Popov |
| title_short | Estimating correlation using intraday price data in financial markets |
| title_sort | estimating correlation using intraday price data in financial markets |
| topic | Portfolio Selection (DE-588)4046834-3 gnd Schätzung (DE-588)4193791-0 gnd Korrelation (DE-588)4165343-9 gnd Wertpapierkurs (DE-588)4065681-0 gnd |
| topic_facet | Portfolio Selection Schätzung Korrelation Wertpapierkurs Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027025143&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT popovvalentin estimatingcorrelationusingintradaypricedatainfinancialmarkets |