Quantile Correlations: Uncovering temporal dependencies in financial time series

Thilo A. Schmitt, Rudi Sch\"afer, Holger Dette and Thomas Guhr

Papers from arXiv.org

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\&P 500 stocks from the New York Stock Exchange. 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.

Date: 2015-07
New Economics Papers: this item is included in nep-ets
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