Suppose we have 2 time series of market data, one for each security and we want to correlate between these 2 securities. My question is
How do we handle gaps of missing data in the time series? Imagine the time series is one day tick data of a stock price and we have a 10 mins gap of missing data sometime during the day.
How do we correlate the tick-by-tick market data of these 2 securities that do not happen at the same time for each tick? If we correlate them in the same time intervals, what price do we use?