On the estimation of correlations for irregularly spaced time series

Jonas Andersson

No 2007/19, Discussion Papers from Norwegian School of Economics, Department of Business and Management Science

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.

Keywords: Irregularly spaced time series; covariance; correlation; financial returns (search for similar items in EconPapers)
JEL-codes: C10 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2007-07-06
New Economics Papers: this item is included in nep-ecm and nep-ets
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