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On the estimation of correlations for irregularly spaced time series

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  • Andersson, Jonas

    ()
    (Dept. of Finance and Management Science, Norwegian School of Economics and Business Administration)

Abstract

In this paper, the problem of calculating covariances and correlations between time series which are observed irregularly and at different points in time, is treated. The problem of dependence between the time stamp process and the return process is especially highlighted and the solution to this problem for a special case is given. Furthermore, estimators based on different interpolation methods are investigated. The covariances are in turn used to estimate a simple regression on such data. In particular, the difference of first order integrated processes, I(1) processes, are considered. These methods are relevant for stock returns and consequently of importance in e.g. portfolio optimization.

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Bibliographic Info

Paper provided by Department of Business and Management Science, Norwegian School of Economics in its series Discussion Papers with number 2007/19.

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Length: 17 pages
Date of creation: 06 Jul 2007
Date of revision:
Handle: RePEc:hhs:nhhfms:2007_019

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Postal: NHH, Department of Business and Management Science, Helleveien 30, N-5045 Bergen, Norway
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Fax: +47 55 95 96 50
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Web page: http://www.nhh.no/en/research-faculty/department-of-business-and-management-science.aspx
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Keywords: Irregularly spaced time series; covariance; correlation; financial returns;

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  1. De Jong, Frank & Mahieu, Ronald & Schotman, Peter, 1998. "Price discovery in the foreign exchange market: an empirical analysis of the yen/dmark rate1, 2," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 5-27, February.
  2. de Jong, Frank & Nijman, Theo, 1997. "High frequency analysis of lead-lag relationships between financial markets," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 259-277, June.
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