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Nimbus3000
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Posts: 37
Joined: February 13th, 2013, 8:10 pm

Correlation - HY Estimator

January 13th, 2017, 1:49 pm

Hello Everyone,

I used HY estimator to calculate the correlation between a liquid index and its ATM call option for a day at a tick level using HY estimator. 
I got a correlation of about 10%.

I was wondering if anyone else has done something similar and if they get similar numbers for correlation or is there something wrong with my understanding / code. 
PS: I am using python. I couldnt find a library which implements HY and thus ended up coding it. 

Best