arXiv 18 Jan 2026 · Econometrics
arXiv:2601.12198 · PDF · DOI · OpenAlex · Extracted main text
We construct and analyze an estimator of association between random variables based on their similarity in both direction and magnitude. Under special conditions, the proposed measure becomes a robust and consistent estimator of the linear correlation, for which an exact sampling distribution is available. This distribution is intrinsically insensitive to heavy tails and outliers, thereby facilitating robust inference for correlations. The measure can be naturally extended to higher dimensions, where it admits an interpretation as an indicator of joint similarity among multiple random variables. We investigate the empirical performance of the proposed measure with financial return data at both high and low frequencies. Specifically, we apply the new estimator to construct confidence intervals for correlations based on intraday returns and to develop a new specification for multivariate GARCH models.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Fisher, R. A (1919) The Genesis of Twins | 0.843 | 4 | 4 | 75% |
| 2 | Fisher, Ronald Aylmer (1921) On the "Probable Error" of a Coefficient of Correlation Deduced from a Small Sample | 0.843 | 3 | 3 | 100% |
| 3 | Edward L. Thorndike (1905) Measurement of Twins | 0.843 | 3 | 3 | 100% |
| 4 | Ilya Archakov and Peter Reinhard Hansen and Asger Lunde (2025) A multivariate realized GARCH model self | 0.811 | 4 | 2 | 100% |
| 5 | Robert Engle and Bryan Kelly (2012) Dynamic Equicorrelation | 0.737 | 3 | 2 | 100% |
| 6 | Greiner, R (1909) Über das fehlersystem der kollektivmasslehre | 0.737 | 3 | 2 | 100% |
| 7 | Ilya Archakov and Peter Reinhard Hansen (2021) A New Parametrization of Correlation Matrices self | 0.644 | 2 | 2 | 100% |
| 8 | Nils Blomqvist (1950) On a Measure of Dependence Between two Random Variables | 0.644 | 2 | 2 | 100% |
| 9 | Engle, Robert (2002) Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models | 0.644 | 2 | 2 | 100% |
| 10 | R. A. Fisher (1915) Frequency Distribution of the Values of the Correlation Coefficient in Samples from an Indefinitely Large Population | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 41 scored citations.