Dynamic Correlation Estimators for Bivariate Brownian and Geometric Brownian Motions
Journal of stochastic analysis(2022)
摘要
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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关键词
dynamic correlation estimators,bivariate brownian
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