  In earlier studies, the estimation of the volatility of a stock using
information on the daily opening, closing, high and low prices has been
developed; the additional information in the high and low prices can be
incorporated to produce unbiased (or near-unbiased) estimators with
substantially lower variance than the simple open--close estimator. This paper
tackles the more difficult task of estimating the correlation of two stocks
based on the daily opening, closing, high and low prices of each. If we had
access to the high and low values of some linear combination of the two log
prices, then we could use the univariate results via polarization, but this is
not data that is available. The actual problem is more challenging; we present
an unbiased estimator which halves the variance.
