QUANTILE CORRELATIONS: UNCOVERING TEMPORAL DEPENDENCIES IN FINANCIAL TIME SERIES

Thilo A. Schmitt, Rudi Schäfer, Holger Dette and Thomas Guhr
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Thilo A. Schmitt: Fakultät für Physik, Universität Duisburg-Essen, 47048 Duisburg, Germany
Rudi Schäfer: Fakultät für Physik, Universität Duisburg-Essen, 47048 Duisburg, Germany
Holger Dette: Fakultät für Mathematik, Ruhr-Universität Bochum, 44780 Bochum, Germany
Thomas Guhr: Fakultät für Physik, Universität Duisburg-Essen, 47048 Duisburg, Germany

International Journal of Theoretical and Applied Finance (IJTAF), 2015, vol. 18, issue 07, 1-16

Abstract: We conduct an empirical study using the quantile-based correlation function to uncover the temporal dependencies in financial time series. The study uses intraday data for the S&P500 stocks from the New York Stock Exchange (NYSE). After establishing an empirical overview, we compare the quantile-based correlation function to stochastic processes from the GARCH family and find striking differences. This motivates us to propose the quantile-based correlation function as a powerful tool to assess the agreements between stochastic processes and empirical data.

Keywords: Quantile correlations; time series; statistical dependencies; leverage effect (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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DOI: 10.1142/S0219024915500442

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