Jump robust daily covariance estimation by disentangling variance and correlation components

DOI10.1016/j.csda.2011.05.003zbMath1254.91565OpenAlexW3122486238MaRDI QIDQ1927084

Christophe Croux, Jonathan Cornelissen, Leopoldo Catania

Publication date: 30 December 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://lirias.kuleuven.be/handle/123456789/280322

zbMATH Keywords

jumpshigh-frequency dataintegrated covariancenon-synchronous tradingrealized covariance

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (7)

Forecasting correlations during the late-2000s financial crisis: the short-run component, the long-run component, and structural breaks ⋮ DYNAMIC MODELING OF HIGH-DIMENSIONAL CORRELATION MATRICES IN FINANCE ⋮ The minimum regularized covariance determinant estimator ⋮ Jump robust two time scale covariance estimation and realized volatility budgets ⋮ Special issue on robust analysis of complex data ⋮ The impact of jumps and leverage in forecasting covolatility ⋮ Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers

Uses Software

• RTAQ

Cites Work

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• An Asymptotic | chi 2 Test for the Equality of Two Correlation Matrices

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