Correlation estimation using components of Japanese candlesticks

DOI10.1080/14697688.2016.1157625MaRDI QIDQ4554230zbMATH OpenOpenAlexFDO

Authors

Publication date 13 November 2018

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10023/11901

zbMATH Keywords

correlationjump diffusionsestimationBrownian motionbivariate Brownian motionJapanese candlesticks

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Brownian motion (60J65)

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Cites work

• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• scientific article; zbMATH DE number 3153624 (Why is no real title available?)
• scientific article; zbMATH DE number 1249686 (Why is no real title available?)
• A Hausman test for Brownian motion
• A high-low based omnibus test for symmetry, the Lévy property, and other hypotheses on intraday returns
• Estimating correlation from high, low, opening and closing prices
• Estimating variance from high, low and closing prices
• Simulation of Estimates Using the Empirical Characteristic Function
• The asymptotic variance matrix of the sample correlation matrix
• The correlation of the maxima of correlated Brownian motions

Cited in

(4)

• The intra-day performance of market timing strategies and trading systems based on Japanese candlesticks
• Correlation structure forecasting \& ex ante portfolio selection strategies in the Japan market
• Forecasting US stock market returns: a Japanese candlestick approach
• Estimating correlation from high, low, opening and closing prices

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