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Correlation estimation using components of Japanese candlesticks
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dc.contributor.author | Popov, Valentin Mina | |
dc.date.accessioned | 2017-10-22T23:31:59Z | |
dc.date.available | 2017-10-22T23:31:59Z | |
dc.date.issued | 2016 | |
dc.identifier | 241427323 | |
dc.identifier | bfeae549-0820-4c19-93d5-5157ebb1552b | |
dc.identifier | 84964447012 | |
dc.identifier | 000385947900011 | |
dc.identifier.citation | Popov , V M 2016 , ' Correlation estimation using components of Japanese candlesticks ' , Quantitative Finance , vol. 16 , no. 10 , pp. 1615-1630 . https://doi.org/10.1080/14697688.2016.1157625 | en |
dc.identifier.issn | 1469-7688 | |
dc.identifier.uri | https://hdl.handle.net/10023/11901 | |
dc.description.abstract | Using the wick's difference from the classical Japanese candlestick representation of daily open, high, low, close prices brings efficiency when estimating the correlation in a bivariate Brownian motion. An interpretation of the correlation estimator in Rogers and Zhou (2008) in the light of wicks' difference allows us to suggest modifications, which lead to an increased efficiency and robustness against the baseline model. An empirical study on four major financial markets confirms the advantages of the modified estimator. | |
dc.format.extent | 16 | |
dc.format.extent | 465365 | |
dc.language.iso | eng | |
dc.relation.ispartof | Quantitative Finance | en |
dc.subject | Japanese candlesticks | en |
dc.subject | Correlation | en |
dc.subject | Estimation | en |
dc.subject | Brownian motion | en |
dc.subject | Jump diffusions | en |
dc.subject | QA Mathematics | en |
dc.subject | NDAS | en |
dc.subject.lcc | QA | en |
dc.title | Correlation estimation using components of Japanese candlesticks | en |
dc.type | Journal article | en |
dc.contributor.institution | University of St Andrews. Statistics | en |
dc.contributor.institution | University of St Andrews. Centre for Research into Ecological & Environmental Modelling | en |
dc.identifier.doi | 10.1080/14697688.2016.1157625 | |
dc.description.status | Peer reviewed | en |
dc.date.embargoedUntil | 2017-10-22 |
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