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arXiv · 2006.05793

Weak-consistent dynamic correlation estimators for Brownian motion pairs and for Geometric Brownian motion pairs

Majnu John·Yihren Wu
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Abstract

Estimating dynamic correlation between a pair of time series is of importance in many applications. We present new estimators for the dynamic correlation between a pair of correlated Brownian motions and separately for dynamic correlation between a pair of correlated Geometric Brownian motions. We show that, as the sample size increases, all estimators presented in this paper converge in probability to the underlying true dynamic correlation.

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BibTeXRIS

Majnu John, Yihren Wu. 2020-06-10. Weak-consistent dynamic correlation estimators for Brownian motion pairs and for Geometric Brownian motion pairs. https://doi.org/10.31390/josa.3.1.02

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