Realized correlation of high-frequency data based fourier analysis - 文章详情页

作者：

Zhang, Jie (Zhang, Jie.) | Wang, Zhuo (Wang, Zhuo.) | Zhai, Dongsheng (Zhai, Dongsheng.) (学者：翟东升)

收录：

EI Scopus

摘要：

financial　high-frequency　data　are　not　equally　spaced,　standard　correlation　measures　such　as　Realized　Correlation　can　not　be　directly　applied　to　the　raw　data　which　have　to　be　homogenized　by　interpolating.　Fourier-Realized　Correlation　is　a　method　which　uses　all　the　tick-bytick　data　with　no　need　to　change　their　structure.　In　this　paper,　Fourier-Realized　Correlation　of　stock　returns,　the　efficiencies　of　the　two　methods　are　compared.　Empirical　results　show　that　Fourier-Realized　Correlation　is　a　better　choice　in　terms　of　stability.　©　2010　IEEE.

关键词：

Investments Information management Fourier transforms Fourier analysis

作者机构：

[ 1 ] [Zhang, Jie]Economics and Management School, Beijing University of Technology, Beijing, China
[ 2 ] [Wang, Zhuo]Economics and Management School, Beijing University of Technology, Beijing, China
[ 3 ] [Zhai, Dongsheng]Economics and Management School, Beijing University of Technology, Beijing, China

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