{"id":"https://openalex.org/W2032296959","doi":"https://doi.org/10.1214/07-aap460","title":"Estimating correlation from high, low, opening and closing prices","display_name":"Estimating correlation from high, low, opening and closing prices","publication_year":2008,"publication_date":"2008-03-25","ids":{"openalex":"https://openalex.org/W2032296959","doi":"https://doi.org/10.1214/07-aap460","mag":"2032296959"},"language":"en","primary_location":{"id":"doi:10.1214/07-aap460","doi":"https://doi.org/10.1214/07-aap460","is_oa":true,"landing_page_url":"https://doi.org/10.1214/07-aap460","pdf_url":"https://projecteuclid.org/journals/annals-of-applied-probability/volume-18/issue-2/Estimating-correlation-from-high-low-opening-and-closing-prices/10.1214/07-AAP460.pdf","source":{"id":"https://openalex.org/S9093621","display_name":"The Annals of Applied Probability","issn_l":"1050-5164","issn":["1050-5164","2168-8737"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-b","doyens","jufo-3","norway-2","poland-140","russia-white-list-1"],"host_organization":"https://openalex.org/P4310319881","host_organization_name":"Institute of Mathematical Statistics","host_organization_lineage":["https://openalex.org/P4310319881"],"host_organization_lineage_names":["Institute of Mathematical Statistics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Annals of Applied Probability","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["arxiv","crossref","datacite"],"open_access":{"is_oa":true,"oa_status":"bronze","oa_url":"https://projecteuclid.org/journals/annals-of-applied-probability/volume-18/issue-2/Estimating-correlation-from-high-low-opening-and-closing-prices/10.1214/07-AAP460.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":null,"display_name":"L. C. G. Rogers","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I241749","display_name":"University of Cambridge","ror":"https://ror.org/013meh722","country_code":"GB","type":"education","lineage":["https://openalex.org/I241749"]},{"id":"https://openalex.org/I47508984","display_name":"Imperial College London","ror":"https://ror.org/041kmwe10","country_code":"GB","type":"education","lineage":["https://openalex.org/I47508984"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"L. C. G. Rogers","raw_affiliation_strings":["STATISTICAL LABORATORY UNIVERSITY OF CAMBRIDGE WILBERFORCE ROAD , CAMBRIDGE CB3 0WB UNITED KINGDOM","University of Cambridge and Imperial College London"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"STATISTICAL LABORATORY UNIVERSITY OF CAMBRIDGE WILBERFORCE ROAD , CAMBRIDGE CB3 0WB UNITED KINGDOM","institution_ids":["https://openalex.org/I241749"]},{"raw_affiliation_string":"University of Cambridge and Imperial College London","institution_ids":["https://openalex.org/I241749","https://openalex.org/I47508984"]}]},{"author_position":"last","author":{"id":null,"display_name":"Fanyin Zhou","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I241749","display_name":"University of Cambridge","ror":"https://ror.org/013meh722","country_code":"GB","type":"education","lineage":["https://openalex.org/I241749"]},{"id":"https://openalex.org/I47508984","display_name":"Imperial College London","ror":"https://ror.org/041kmwe10","country_code":"GB","type":"education","lineage":["https://openalex.org/I47508984"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Fanyin Zhou","raw_affiliation_strings":["INSTITUTE FOR MATHEMATICAL SCIENCES IMPERIAL COLLEGE LONDON 53 PRINCE'S GATE SOUTH KENSINGTON , LONDON SW7 2PG UNITED KINGDOM","University of Cambridge and Imperial College London"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"INSTITUTE FOR MATHEMATICAL SCIENCES IMPERIAL COLLEGE LONDON 53 PRINCE'S GATE SOUTH KENSINGTON , LONDON SW7 2PG UNITED KINGDOM","institution_ids":["https://openalex.org/I47508984"]},{"raw_affiliation_string":"University of Cambridge and Imperial College London","institution_ids":["https://openalex.org/I241749","https://openalex.org/I47508984"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":2.8694,"has_fulltext":true,"cited_by_count":41,"citation_normalized_percentile":{"value":0.9239671,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":99},"biblio":{"volume":"18","issue":"2","first_page":"813","last_page":"823"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9810000061988831,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9810000061988831,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.016300000250339508,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.0017999999690800905,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/correlation-estimation","display_name":"correlation estimation","score":0.7839999794960022},{"id":"https://openalex.org/keywords/high-and-low-prices","display_name":"high and low prices","score":0.7960000038146973},{"id":"https://openalex.org/keywords/stock-prices","display_name":"stock prices","score":0.46700000762939453},{"id":"https://openalex.org/keywords/unbiased-estimators","display_name":"unbiased estimators","score":0.7390000224113464},{"id":"https://openalex.org/keywords/variance-reduction","display_name":"variance reduction","score":0.8529999852180481},{"id":"https://openalex.org/keywords/polarization","display_name":"polarization","score":0.7269999980926514},{"id":"https://openalex.org/keywords/daily-price-data","display_name":"daily price data","score":0.40799999237060547}],"concepts":[{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.7659000158309937},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6827999949455261},{"id":"https://openalex.org/C199163554","wikidata":"https://www.wikidata.org/wiki/Q1681619","display_name":"Univariate","level":3,"score":0.6536999940872192},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5834000110626221},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5705999732017517},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.4893999993801117},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.47839999198913574},{"id":"https://openalex.org/C5297727","wikidata":"https://www.wikidata.org/wiki/Q786970","display_name":"Autocorrelation","level":2,"score":0.45419999957084656},{"id":"https://openalex.org/C2778775528","wikidata":"https://www.wikidata.org/wiki/Q5135432","display_name":"Closing (real estate)","level":2,"score":0.4327000081539154},{"id":"https://openalex.org/C117220453","wikidata":"https://www.wikidata.org/wiki/Q5172842","display_name":"Correlation","level":2,"score":0.42669999599456787},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.4228000044822693},{"id":"https://openalex.org/C191393472","wikidata":"https://www.wikidata.org/wiki/Q15222032","display_name":"Bias of an estimator","level":4,"score":0.3781000077724457},{"id":"https://openalex.org/C2909318450","wikidata":"https://www.wikidata.org/wiki/Q15222032","display_name":"Unbiased Estimation","level":3,"score":0.36390000581741333},{"id":"https://openalex.org/C60092789","wikidata":"https://www.wikidata.org/wiki/Q7301291","display_name":"Realized variance","level":3,"score":0.3377000093460083},{"id":"https://openalex.org/C165646398","wikidata":"https://www.wikidata.org/wiki/Q3755281","display_name":"Minimum-variance unbiased estimator","level":3,"score":0.3336000144481659},{"id":"https://openalex.org/C96250715","wikidata":"https://www.wikidata.org/wiki/Q965330","display_name":"Estimation","level":2,"score":0.32350000739097595},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.2964000105857849},{"id":"https://openalex.org/C2988984586","wikidata":"https://www.wikidata.org/wiki/Q1020013","display_name":"Stock price","level":3,"score":0.2653000056743622},{"id":"https://openalex.org/C164172150","wikidata":"https://www.wikidata.org/wiki/Q1782585","display_name":"Consistent estimator","level":4,"score":0.2651999890804291}],"mesh":[],"locations_count":8,"locations":[{"id":"doi:10.1214/07-aap460","doi":"https://doi.org/10.1214/07-aap460","is_oa":true,"landing_page_url":"https://doi.org/10.1214/07-aap460","pdf_url":"https://projecteuclid.org/journals/annals-of-applied-probability/volume-18/issue-2/Estimating-correlation-from-high-low-opening-and-closing-prices/10.1214/07-AAP460.pdf","source":{"id":"https://openalex.org/S9093621","display_name":"The Annals of Applied Probability","issn_l":"1050-5164","issn":["1050-5164","2168-8737"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-b","doyens","jufo-3","norway-2","poland-140","russia-white-list-1"],"host_organization":"https://openalex.org/P4310319881","host_organization_name":"Institute of Mathematical Statistics","host_organization_lineage":["https://openalex.org/P4310319881"],"host_organization_lineage_names":["Institute of Mathematical Statistics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Annals of Applied Probability","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:arx:papers:0804.0162","doi":null,"is_oa":false,"landing_page_url":"http://arxiv.org/pdf/0804.0162","pdf_url":"http://arxiv.org/pdf/0804.0162","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:arXiv.org:0804.0162","doi":null,"is_oa":true,"landing_page_url":"http://arxiv.org/abs/0804.0162","pdf_url":"https://arxiv.org/pdf/0804.0162","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.312.5468","doi":null,"is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.312.5468","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://arxiv.org/pdf/0804.0162v1.pdf","raw_type":"text"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.546.267","doi":null,"is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.546.267","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.statslab.cam.ac.uk/~chris/papers/RZdraft.pdf","raw_type":"text"},{"id":"mag:3125476408","doi":null,"is_oa":false,"landing_page_url":"https://EconPapers.repec.org/RePEc:arx:papers:0804.0162","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null},{"id":"pmh:oai:CULeuclid:euclid.aoap/1206018204","doi":null,"is_oa":false,"landing_page_url":"http://projecteuclid.org/euclid.aoap/1206018204","pdf_url":null,"source":{"id":"https://openalex.org/S4306400787","display_name":"Project Euclid (Cornell University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Text"},{"id":"doi:10.48550/arxiv.0804.0162","doi":"https://doi.org/10.48550/arxiv.0804.0162","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.0804.0162","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article-journal"}],"best_oa_location":{"id":"doi:10.1214/07-aap460","doi":"https://doi.org/10.1214/07-aap460","is_oa":true,"landing_page_url":"https://doi.org/10.1214/07-aap460","pdf_url":"https://projecteuclid.org/journals/annals-of-applied-probability/volume-18/issue-2/Estimating-correlation-from-high-low-opening-and-closing-prices/10.1214/07-AAP460.pdf","source":{"id":"https://openalex.org/S9093621","display_name":"The Annals of Applied Probability","issn_l":"1050-5164","issn":["1050-5164","2168-8737"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-b","doyens","jufo-3","norway-2","poland-140","russia-white-list-1"],"host_organization":"https://openalex.org/P4310319881","host_organization_name":"Institute of Mathematical Statistics","host_organization_lineage":["https://openalex.org/P4310319881"],"host_organization_lineage_names":["Institute of Mathematical Statistics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Annals of Applied Probability","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320321456","display_name":"BNP Paribas Cardif","ror":"https://ror.org/02v616z87"}],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2032296959.pdf","grobid_xml":"https://content.openalex.org/works/W2032296959.grobid-xml"},"referenced_works_count":22,"referenced_works":["https://openalex.org/W982383590","https://openalex.org/W1528407481","https://openalex.org/W1566395535","https://openalex.org/W1578459093","https://openalex.org/W1970694313","https://openalex.org/W1977404606","https://openalex.org/W1995760263","https://openalex.org/W2045667766","https://openalex.org/W2085144577","https://openalex.org/W2086242486","https://openalex.org/W2128569377","https://openalex.org/W2130536986","https://openalex.org/W2139635135","https://openalex.org/W2155187653","https://openalex.org/W2155804346","https://openalex.org/W2157296221","https://openalex.org/W2168954579","https://openalex.org/W3023073341","https://openalex.org/W3095114851","https://openalex.org/W3121411776","https://openalex.org/W3125666236","https://openalex.org/W3126096338"],"related_works":["https://openalex.org/W2045667766","https://openalex.org/W7099775710","https://openalex.org/W2086242486","https://openalex.org/W2172218031","https://openalex.org/W2130536986","https://openalex.org/W2142164463","https://openalex.org/W2009136082","https://openalex.org/W7099641794","https://openalex.org/W2037984513","https://openalex.org/W2337042167"],"abstract_inverted_index":{"In":[0],"earlier":[1],"studies,":[2],"the":[3,6,14,25,29,48,55,61,68,83,93,101,127],"estimation":[4],"of":[5,8,59,63,76,88,92],"volatility":[7],"a":[9],"stock":[10],"using":[11],"information":[12,27],"on":[13,67],"daily":[15,69],"opening,":[16,70],"closing,":[17,71],"high":[18,30,72,84],"and":[19,31,73,85],"low":[20,32,74,86],"prices":[21,33,75],"has":[22],"been":[23],"developed;":[24],"additional":[26],"in":[28],"can":[34],"be":[35],"incorporated":[36],"to":[37,82],"produce":[38],"unbiased":[39,123],"(or":[40],"near-unbiased)":[41],"estimators":[42],"with":[43],"substantially":[44],"lower":[45],"variance":[46],"than":[47],"simple":[49],"open\u2013close":[50],"estimator.":[51],"This":[52],"paper":[53],"tackles":[54],"more":[56,118],"difficult":[57],"task":[58],"estimating":[60],"correlation":[62],"two":[64,94],"stocks":[65],"based":[66],"each.":[77],"If":[78],"we":[79,98,120],"had":[80],"access":[81],"values":[87],"some":[89],"linear":[90],"combination":[91],"log":[95],"prices,":[96],"then":[97],"could":[99],"use":[100],"univariate":[102],"results":[103],"via":[104],"polarization,":[105],"but":[106],"this":[107],"is":[108,112,117],"not":[109],"data":[110],"that":[111],"available.":[113],"The":[114],"actual":[115],"problem":[116],"challenging;":[119],"present":[121],"an":[122],"estimator":[124],"which":[125],"halves":[126],"variance.":[128]},"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":4},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":6},{"year":2017,"cited_by_count":3},{"year":2016,"cited_by_count":5},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":4},{"year":2013,"cited_by_count":2},{"year":2012,"cited_by_count":1}],"updated_date":"2026-11-03T10:50:19.383937","created_date":"2016-06-24T00:00:00"}
