Estimating correlation from high, low, opening and closing prices

• 成果类型: Article
• 署名作者: Rogers, L. C. G.; Zhou, Fanyin
• 署名单位: University of Cambridge; Imperial College London
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/07-AAP460
• 发表日期: 2008
• 页码: 813-823
• 关键词: range-based estimation; volatility

摘要

In earlier studies, the estimation of the volatility of a stock using information on the daily opening, closing, high and low prices has been developed; the additional information in the high and low prices can be incorporated to produce unbiased (or near-unbiased) estimators with substantially lower variance than the simple open-close estimator. This paper tackles the more difficult task of estimating the correlation of two stocks based on the daily opening, closing, high and low prices of each. If we had access to the high and low values of some linear combination of the two log prices, then we could use the univariate results via polarization, but this is not data that is available. The actual problem is more challenging; we present an unbiased estimator which halves the variance.