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

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 s...

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Bibliographic Details
Published in:arXiv.org 2021-06
Main Authors: Majnu, John, Wu, Yihren
Format: Article
Language:English
Subjects:
Correlation
Online Access:Get full text
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Summary: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.
ISSN:2331-8422
DOI:10.48550/arxiv.2006.05793