Accurate estimator of correlations between asynchronous signals

Physica A: Statistical Mechanics and its Applications

Volumn 388, Issue 8, 2009, Pages 1696-1705

  Tóth, Bence ^a,b   Kertész, János ^b  

^a ISI FOUNDATION   (Italy)

^b BUDAPEST UNIVERSITY OF TECHNOLOGY AND ECONOMICS   (Hungary)

Author keywords

Asynchronous signals; Correlation estimation

Indexed keywords

ASYNCHRONICITY; ASYNCHRONOUS SIGNALS; COMPUTER EXPERIMENT; CORRELATION ESTIMATION; SOURCE OF NOISE; TIME WINDOWS;

PHYSICS;

EID: 59449094158     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2008.12.062     Document Type: Article

References (16)

1. Hevesy G., and Levi H. Action of slow neutrons on rare earth elements. Nature 137 3457 (1936) 185
2. Soete D., Gijbels R., and Hoste J. Neutron Activation Analysis (1972), Wiley Interscience, New York
3. McConnell K.G. Vibrational testing: Theory and Practice (1995), John Wiley, New York
4. Epps T.W. Comovements in stock prices in the very short run. J. Amer. Statist. Assoc. 74 (1979) 291-298
5. Montroll E.W., and Weiss G.H. Random walks on lattices, ii. J. Math. Phys. 6 2 (1965) 167-181
6. Scher H., and Lax M. Stochastic transport in a disordered solid, i. Theory. Phys. Rev. B 7 (1973) 4491-4502
7. Scalas E. The application of continuous-time random walks in finance and economics. Physica A 362 (2006) 225-239
8. Malliavin P., and Mancino M.E. Fourier series method for measurement of multivariate volatilities. Finance Stoch. 6 (2002) 49-61
9. Renò R. A closer look at the epps effect. Int. J. Theoret. Appl. Finance 6 1 (2003) 87-102
10. Precup O., and Iori G. A comparison of high-frequency cross-correlation measures. Physica A 344 1-2 (2004) 252-256
11. Hayashi T., and Yoshida N. On covariance estimation of non-synchronously observed diffusion processes. Bernoulli 11 2 (2005) 359-379
12. Voev V., and Lunde A. Integrated covariance estimation using high-frequency data in the presence of noise. J. Finan. Econom. 5 1 (2006) 68-104
13. A. Palandri, Consistent realized covariance for asynchronous observations contaminated by market microstructure noise. URL http://www.econ.ku.dk/Events_News/Zeuthen/2006/Workshop_06/Papers/Palandri_RealCorr2.pdf
14. B. Tóth, J. Kertész, The epps effect revisited. URL http://arxiv.org/pdf/0704.1099
15. Furth R. Ann. Phys. (Leipzig) 43 (1917) 177
16. Weiss G.H. Aspects and Applications of the Random Walk (1994), North-Holland, Amsterdam