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.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by Department of Finance and Management Science, Norwegian School of Economics and Business Administration in its series Discussion Papers with number
2007/19.
Length: 17 pages Date of creation: 06 Jul 2007 Date of revision: Handle: RePEc:hhs:nhhfms:2007_019
Contact details of provider: Postal: NHH, Department of Finance and Management Science, Helleveien 30, N-5045 Bergen, Norway Phone: +47 55 95 92 93 Fax: +47 55 95 96 50 Email: Web page: http://www.nhh.no/for/ More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Stein Fossen).
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.: