Modeling tick-by-tick realized correlations
نویسندگان
چکیده
منابع مشابه
Modeling tick-by-tick realized correlations
We propose a tree-structured heterogeneous autoregressive (tree-HAR) process as a simple and parsimonious model for the estimation and prediction of tick-by-tick realized correlations. The model can account for different time and other relevant predictors’ dependent regime shifts in the conditional mean dynamics of the realized correlation series. Testing the model on S&P 500 and 30-year treasu...
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ژورنال
عنوان ژورنال: Computational Statistics & Data Analysis
سال: 2010
ISSN: 0167-9473
DOI: 10.1016/j.csda.2009.09.033