论文标题
布朗运动对和几何布朗运动对的弱一致的动态相关估计器
Weak-consistent dynamic correlation estimators for Brownian motion pairs and for Geometric Brownian motion pairs
论文作者
论文摘要
在许多应用程序中，估计两对时间序列之间的动态相关性至关重要。我们提出了一对相关的布朗尼运动和分别用于一对相关的几何布朗尼运动之间动态相关性之间动态相关性的新估计量。我们表明，随着样本量的增加，本文中介绍的所有估计量都将基本的真实动态相关性收敛。
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.
