[R-SIG-Finance] Correlation between two asynchronous time series?

[Patrick Burns]

When I was playing with that, it looked like
5 days (i.e., weekly) was about right.  There
seemed to be some asynchrony visible (in
equities) at 3 days.

Pat


Nicolas Mougeot wrote:
> one simple method used in practice (and the basis for correlation swap for 
> example) is to use 3 series of correlation using 3-day returns (or even 5 
> or 20)
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> Adrian Trapletti <a.trapletti at swissonline.ch> 
> Sent by: r-sig-finance-bounces at stat.math.ethz.ch
> 11/14/2008 03:07 PM
>
> To
> R-Finance <r-sig-finance at stat.math.ethz.ch>
> cc
>
> Subject
> Re: [R-SIG-Finance] Correlation between two asynchronous time   series?
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>   
>> Message: 4
>> Date: Thu, 13 Nov 2008 21:53:14 -0800
>> From: Michael <comtech.usa at gmail.com>
>> Subject: [R-SIG-Finance] correlation between two asynchronous time
>>                series?
>> To: r-sig-finance at stat.math.ethz.ch
>> Message-ID:
>> <b1f16d9d0811132153qd277378ka3d29b9d30a5d753 at mail.gmail.com>
>> Content-Type: text/plain; charset=ISO-8859-1
>>
>> Hi all,
>>
>> If I want to find out the correlation between two time series, one is
>> the Hong Kong stock index, the other is the S&P 500. The two markets
>> open at two different time.
>>
>> What impact it might have on my estimate of the correlation of the two
>> series? 
>>     
> Big impact.
>   
>> How do I address this asynchronous time series problem? Any
>> good models?
>>
>>     
> Either you use something along the lines of 
> http://papers.ssrn.com/sol3/papers.cfm?abstract_id=332901or better you 
> use high frequency data (e.g., the S&P 500 futures is open almost 24 
> hours and you will get overlapping hours with the Asian markets).
>   
>> Thanks a lot!
>>
>>
>>     
> Best regards
> Adrian
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>