On the estimation of correlations for irregularly spaced time series
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References listed on IDEAS
- 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.
- de Jong, F.C.J.M. & Nijman, T.E., 1995. "High frequency analysis of lead-lag relationships between financial markets," Discussion Paper 1995-34, Tilburg University, Center for Economic Research.
- Gençay, Ramazan & Dacorogna, Michel & Muller, Ulrich A. & Pictet, Olivier & Olsen, Richard, 2001. "An Introduction to High-Frequency Finance," Elsevier Monographs, Elsevier, edition 1, number 9780122796715.
- 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.
- Nijman, T.E. & de Jong, F.C.J.M., 1997. "High frequency analysis of lead-lag relationships between financial markets," Other publications TiSEM f4f406a0-771a-4af2-9364-6, Tilburg University, School of Economics and Management.
More about this item
KeywordsIrregularly spaced time series; covariance; correlation; financial returns;
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-09-09 (All new papers)
- NEP-ECM-2007-09-09 (Econometrics)
- NEP-ETS-2007-09-09 (Econometric Time Series)
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