signcor

This repository contains the code and the data used in the paper "Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity".

The files are organized as follows.

• data folder
  • SP100_constituents_5min.Rdata 5-minute prices of SP100 consituents.
  • SP100_30y.xlsx daily prices of SP100 constituents.
• code folder
  • application.R Code to generate the plots contained in Figure 5. To change the stock pairs you have to reassign the string variables stck1 and stck2. It uses the R data file SP100_constituents_5min.Rdata.
  • dyn_cor_sim.R Code to carry out the simulations and application of Section 4. It uses the data in the Excel file SP100_30y.xlsx.
  • plots_maker.R Code to produce Figure 9 and 10.
  • sim_rho_estim.R Code to produce the simultions of Section 2.2. Version with known medians.
  • sim_rho_estim_demean.R Code to produce the simultions of Section 2.2. Version with estimated medians.