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arXiv · 1507.04990

Quantile Correlations: Uncovering temporal dependencies in financial time series

Thilo A. Schmitt·Rudi Schäfer·Holger Dette·Thomas Guhr
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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.

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Thilo A. Schmitt, Rudi Schäfer, Holger Dette, Thomas Guhr. 2015-07-17. Quantile Correlations: Uncovering temporal dependencies in financial time series. https://arxiv.org/abs/1507.04990

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